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  1. Article

    Open Access

    Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis

    Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and r...

    Jianzhou Wang, Shuai Wang, Mengzheng Lv, He Jiang in Financial Innovation (2024)

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