Forecasting of realised volatility with the random forests algorithm
Year of publication: |
December 2018
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Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 11.2018, 4, p. 1-15
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Subject: | realised volatility | heterogeneous autoregressive model | purified implied volatility | classification | random forests | machine learning | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Forstwirtschaft | Forestry |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm11040061 [DOI] hdl:10419/238927 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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