Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast
Year of publication: |
2022
|
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Authors: | Choi, Ji-Eun ; Shin, Dong-wan |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 6, p. 1087-1098
|
Subject: | Bidirectional Long Short-Term Memory | Convolution Neural Network | ensemble model | implied volatility | long memory | normalization | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Optionspreistheorie | Option pricing theory |
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