Deep learning for multivariate volatility forecasting in high-dimensional financial time series

Rei Iwafuchi and Yasumasa Matsuda

Year of publication:	May, 2024
Authors:	Iwafuchi, Rei ; Matsuda, Yasumasa
Publisher:	Sendai, Japan : Center for Data Science and Service Research, Graduate School of Economic and Management, Tohoku University
Subject:	Hochdimensionale Daten \| High dimensional data \| Volatilität \| Volatility \| Multivariate Analyse \| Multivariate analysis \| Prognoseverfahren \| Forecasting model \| Zeitreihenanalyse \| Time series analysis \| ARCH-Modell \| ARCH model \| Finanzmarkt \| Financial market

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