Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Yuping Song, Zhenwei Li, Zhiren Ma, Xiaoyu Sun
| Year of publication: |
2023
|
|---|---|
| Authors: | Song, Yuping ; Li, Zhenwei ; Ma, Zhiren ; Sun, Xiaoyu |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 5, p. 1055-1068
|
| Subject: | deep learning LSTM model | high-frequency financial data | machine learning SVM model | traditional econometric ARIMA model | variational mode decomposition | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | ARMA-Modell | ARMA model | Volatilität | Volatility | Börsenkurs | Share price | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2934 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014338810