A neural network enhanced volatility component model
Year of publication: |
2020
|
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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 |
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