A machine learning approach to volatility forecasting
Kim Christensen, Mathias Siggaard and Bezirgen Veliyev
| Year of publication: |
2023
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|---|---|
| Authors: | Christensen, Kim ; Siggaard, Mathias Voldum ; Veliyev, Bezirgen |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1680-1727
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| Subject: | accumulated local effect | heterogeneous auto-regression | machine learning | volatility forecasting | Künstliche Intelligenz | Artificial intelligence | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model | Lernprozess | Learning process |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444717