Forecasting the high-frequency volatility based on the LSTM-HIT model
Guangying Liu, Ziyan Zhuang, Min Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Liu, Guangying ; Zhuang, Ziyan ; Wang, Min |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 5, p. 1356-1373
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| Subject: | deep learning | high-frequency data | long short-term memory | realized volatility | value at risk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3078 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015108388