Deep learning enhanced volatility modeling with covariates
Hien Thi Nguyen, Hoang Nguyen, Minh-Ngoc Tran
| Year of publication: |
2024
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|---|---|
| Authors: | Hien Thi Nguyen ; Nguyen, Hoang ; Minh-Ngoc Tran |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 69.2024, 2, Art.-No. 106145, p. 1-16
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| Subject: | GARCH | GARCH-X | Realized measures | Sequence Monte Carlo | Volatility forecast | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Lernprozess | Learning process | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106145 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191477