Bitcoin return volatility forecasting : a comparative study between GARCH and RNN
Year of publication: |
2021
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Authors: | Shen, Ze ; Wan, Qing ; Leatham, David J. |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 7, Art.-No. 337, p. 1-18
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Subject: | bitcoin | GARCH | machine learning | recurrent neural network | risk management | volatility | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Neuronale Netze | Neural networks | Risikomaß | Risk measure |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14070337 [DOI] hdl:10419/258441 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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