High frequency volatility forecasting : a new approach using a hybrid ANN-MC-GARCH model
Aneessa Firdaus Jumoorty, Ruben Thoplan, Jason Narsoo
| Year of publication: |
2023
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| Authors: | Jumoorty, Aneessa Firdaus ; Thoplan, Ruben ; Narsoo, Jason |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 4, p. 4156-4175
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| Subject: | artificial neural network | high frequency | hybrid ANN-MC-GARCH | MC-GARCH | volatility forecasts | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2640 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014429300