Showing 1 - 10 of 302
Persistent link: https://www.econbiz.de/10013465697
Persistent link: https://www.econbiz.de/10013465704
Persistent link: https://www.econbiz.de/10013465763
Persistent link: https://www.econbiz.de/10012940044
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...
Persistent link: https://www.econbiz.de/10014023691
Persistent link: https://www.econbiz.de/10013534118
Persistent link: https://www.econbiz.de/10013547864
This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on...
Persistent link: https://www.econbiz.de/10013552533
Persistent link: https://www.econbiz.de/10014391446
Persistent link: https://www.econbiz.de/10014426848