A machine learning approach to volatility forecasting
Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Christensen, Kim ; Siggaard, Mathias Voldum ; Veliyev, Bezirgen |
| Publisher: |
Aarhus, Denmark : Department of Economics and Business Economics, Aarhus University |
| Subject: | Gradient boosting | high-frequency data | machine learning | neural network | random forest | realized variance | regularization | volatility forecasting | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Theorie | Theory | Lernprozess | Learning process |
freely available
| Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
|---|---|
| Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2021, 03 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012434010