Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Year of publication: |
2023
|
---|---|
Authors: | Song, Yuping ; Li, Zhenwei ; Ma, Zhiren ; Sun, Xiaoyu |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 5, p. 1055-1068
|
Subject: | deep learning LSTM model | high-frequency financial data | machine learning SVM model | traditional econometric ARIMA model | variational mode decomposition | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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