A neural network enhanced volatility component model
Jia Zhai, Yi Cao and Xiaoquan Liu
| Year of publication: |
2020
|
|---|---|
| Authors: | Zhai, Jia ; Cao, Yi ; Liu, Xiaoquan |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 5, p. 783-797
|
| Subject: | ARMA process | Exchange rates | Volatility prediction | Wavelet analysis | Volatilität | Volatility | Wechselkurs | Exchange rate | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Theorie | Theory | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1711148 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262620