Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model
Yilun Zhang, Yuping Song, Ying Peng, Hanchao Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Zhang, Yilun ; Song, Yuping ; Peng, Ying ; Wang, Hanchao |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 7, p. 2749-2765
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| Subject: | high-frequency data | LSTM model | positive and negative jump volatility | realized volatility | VaR | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3146 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110554