Multi-step-ahead forecasting of the CBOE volatility index in a data-rich environment : application of random forest with Boruta algorithm
Year of publication: |
2022
|
---|---|
Authors: | Kim, Byung Yeon ; Han, Heejoon |
Published in: |
The Korean economic review. - Seoul : KEA, ZDB-ID 2757469-6. - Vol. 38.2022, 3, p. 541-569
|
Subject: | Random Forest | Boruta Algorithm | Machine Learning | VIX Index | Volatility Forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Forstwirtschaft | Forestry | Algorithmus | Algorithm | Künstliche Intelligenz | Artificial intelligence | Index | Index number |
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