Estimation of the ex ante Distribution of Returns for a Portfolio of U.S. Treasury Securities via Deep Learning
This paper presents different deep neural network architectures designed to forecast the distribution of returns on a portfolio of U.S. Treasury securities. A long short-term memory model and a convolutional neural network are tested as the main bu...
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| Format: | Working Paper |
| Language: | English |
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World Bank, Washington, DC
2019
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| Online Access: | http://documents.worldbank.org/curated/en/433791553192242300/Estimation-of-the-ex-ante-Distribution-of-Returns-for-a-Portfolio-of-U-S-Treasury-Securities-via-Deep-Learning http://hdl.handle.net/10986/31449 |