A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen, Minh-Ngoc Tran, David Gunawan, and Robert Kohn
| Year of publication: |
2023
|
|---|---|
| Authors: | Trong-Nghia Nguyen ; Minh-Ngoc Tran ; Gunawan, David ; Kohn, Robert |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 41.2023, 2, p. 414-428
|
| Subject: | Deep learning | Financial econometrics | Recurrent neural networks | Volatility modeling | Volatilität | Volatility | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Theorie | Theory | Aktienmarkt | Stock market | Finanzmarktökonometrie | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2022.2028631 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448201