Dynamic covariance modeling with artificial neural networks

Keyphrases

• Artificial Neural Network 100%
• Covariance Matrix 100%
• Dynamic Covariance Modeling 100%
• Modified Cholesky Decomposition 50%
• Heteroscedastic Model 50%
• Covariance Parameters 50%
• DCC Model 50%
• Copyright 25%
• Regression Equation 25%
• Portfolio Optimization 25%
• Nonlinearity 25%
• Long Short-term Memory 25%
• Portfolio Returns 25%

Mathematics

• Covariance Matrix 100%
• Covariance 100%
• Artificial Neural Network 100%
• Cholesky's Decomposition 50%
• Covariance Parameter 50%
• Nonlinearities 25%
• Regression Equation 25%