Forecasting of realised volatility with the random forests algorithm
Year of publication: |
2018
|
---|---|
Authors: | Luong, Chuong ; Dokučaev, Nikolaj G. |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 11.2018, 4, p. 1-15
|
Publisher: |
Basel : MDPI |
Subject: | realised volatility | heterogeneous autoregressive model | purified implied volatility | classification | random forests | machine learning |
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