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Year of publication
Subject
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Tokyo Stock Exchange Co-Location dataset 2 heterogeneous autoregressive model 2 high-frequency traders 2 random forest method 2 realized volatility 2 2012-2019 1 Aktienmarkt 1 Forecasting model 1 Japan 1 Prognoseverfahren 1 Stock market 1 Volatility 1 Volatilität 1
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Online availability
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Free 2 CC license 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Hamori, Shigeyuki 2 Higashide, Takuo 2 Tanaka, Katsuyuki 2 Kinkyo, Takuji 1 Kinkyō, Takuji 1
Published in...
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Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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New dataset for forecasting realized volatility: Is the Tokyo stock exchange co-location dataset helpful for expansion of the heterogeneous autoregressive model in the Japanese stock market?
Higashide, Takuo; Tanaka, Katsuyuki; Kinkyo, Takuji; … - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-18
full-board dataset and market volume dataset based on the random forest method, which is a popular machine learning …
Persistent link: https://www.econbiz.de/10012611772
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Cover Image
New dataset for forecasting realized volatility : is the Tokyo stock exchange co-location dataset helpful for expansion of the heterogeneous autoregressive model in the Japanese stock market?
Higashide, Takuo; Tanaka, Katsuyuki; Kinkyō, Takuji; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18
full-board dataset and market volume dataset based on the random forest method, which is a popular machine learning …
Persistent link: https://www.econbiz.de/10012534623
Saved in:
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