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Search: subject:"purified implied volatility"
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classification
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heterogeneous autoregressive model
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purified implied volatility
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random forests
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realised volatility
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Dokučaev, Nikolaj G.
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Luong, Chuong
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Forecasting of realised volatility with the random forests algorithm
Luong, Chuong
;
Dokučaev, Nikolaj G.
- In:
Journal of Risk and Financial Management
11
(
2018
)
4
,
pp. 1-15
purified
implied
volatility
. For this extended model, we apply the random forests algorithm for the forecasting of the …
Persistent link: https://www.econbiz.de/10012611068
Saved in:
2
Forecasting of realised volatility with the random forests algorithm
Luong, Chuong
;
Dokučaev, Nikolaj G.
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
4
,
pp. 1-15
purified
implied
volatility
. For this extended model, we apply the random forests algorithm for the forecasting of the …
Persistent link: https://www.econbiz.de/10011961374
Saved in:
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