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What is LSTM Framework for Financial Spillover Prediction about?

This study presents a predictive framework using LSTM neural networks to analyze cross-regional financial market volatility spillovers, validated with data from six major equity markets from 2000 to 2024. The findings indicate that monetary policy shocks lead to asymmetric spillovers, with European markets reacting faster than Asian markets. The research contributes by merging machine learning with traditional event-study methodology, providing actionable risk classifications for policymakers and investors.

Author

Bikram Barman

Language

EN