Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast
Ji-Eun Choi, Dong Wan Shin
| Year of publication: |
2022
|
|---|---|
| Authors: | Choi, Ji-Eun ; Shin, Dong-wan |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 6, p. 1087-1098
|
| Subject: | Bidirectional Long Short-Term Memory | Convolution Neural Network | ensemble model | implied volatility | long memory | normalization | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | ARMA-Modell | ARMA model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2844 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465682