Multi-timescale recurrent neural networks beat rough volatility for intraday volatility prediction
Year of publication: |
2024
|
---|---|
Authors: | Challet, Damien ; Ragel, Vincent |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 6, Art.-No. 84, p. 1-10
|
Subject: | long memory | recurrent neural networks | rough volatility | time series | volatility prediction | Theorie | Theory | Neuronale Netze | Neural networks | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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