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  • Search: person:"Heuvel, Storm Koert"
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Börsenkurs 1 Capital income 1 Deutschland 1 Estimation 1 Estimation theory 1 Exchange rate 1 Financial time series 1 Forecast 1 Forecasting model 1 Germany 1 Kapitaleinkommen 1 Neural networks 1 Neuronale Netze 1 Prognose 1 Prognoseverfahren 1 S&P 100 1 Schätztheorie 1 Schätzung 1 Share price 1 Stock realized volatility 1 TSMixer 1 Time series analysis 1 Volatility 1 Volatilität 1 Wechselkurs 1 Zeitreihenanalyse 1
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English 1
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Heuvel, Storm Koert 1 Neto, Francisco Louzada 1 Souto, Hugo Gobato 1
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The Journal of finance and data science : JFDS 1
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Time-mixing and feature-mixing modelling for realized volatility forecast : evidence from TSMixer model
Souto, Hugo Gobato; Heuvel, Storm Koert; Neto, … - In: The Journal of finance and data science : JFDS 10 (2024), pp. 1-38
This study evaluates the effectiveness of the TSMixer neural network model in forecasting stock realized volatility, comparing it with traditional and contemporary benchmark models. Using data from S&P 100 index stocks and three other datasets containing various financial securities, extensive...
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