Volatility forecasting with machine learning and intraday commonality
Chao Zhang, Yihuang Zhang, Mihai Cucuringu, and Zhongmin Qian
| Year of publication: |
2024
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|---|---|
| Authors: | Zhang, Chao ; Zhang, Yihuang ; Cucuringu, Mihai ; Qian, Zhongmin |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 492-530
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| Subject: | commonality | intraday volatility forecasting | neural networks | realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Neuronale Netze | Neural networks | 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: | 10.1093/jjfinec/nbad005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526335