Volatility forecasting of clean energy ETF using GARCH-MIDAS with neural network model
Li Zhang, Lu Wang, Thong Trung Nguyen, Ruiyi Ren
| Year of publication: |
2024
|
|---|---|
| Authors: | Zhang, Li ; Wang, Lu ; Thong Trung Nguyen ; Ren, Ruiyi |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 70.2024, Art.-No. 106286, p. 1-13
|
| Subject: | Clean energy ETF | GARCH-MIDAS | Recurrent neural network | Volatility forecasting | Volatilität | Volatility | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Indexderivat | Index derivative | Erneuerbare Energie | Renewable energy | ARCH-Modell | ARCH model | Energieprognose | Energy forecast |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106286 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015193018