Adding a historical-data input sequence to GAN generators (FE-GAN) is reported to improve VaR and ES estimation on VIX data, but the evaluation lacks code, error bars, and significance tests.
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Risk Management with Feature-Enriched Generative Adversarial Networks (FE-GAN)
Adding a historical-data input sequence to GAN generators (FE-GAN) is reported to improve VaR and ES estimation on VIX data, but the evaluation lacks code, error bars, and significance tests.