High frequency volatility forecasting : a new approach using a hybrid ANN-MC-GARCH model
Year of publication: |
2023
|
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Authors: | Jumoorty, Aneessa Firdaus ; Thoplan, Ruben ; Narsoo, Jason |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 4, p. 4156-4175
|
Subject: | artificial neural network | high frequency | hybrid ANN-MC-GARCH | MC-GARCH | volatility forecasts | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | ARCH-Modell | ARCH model | Aktienmarkt | Stock market |
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