Recurrent conditional heteroskedasticity
Trong-Nghia Nguyen, Minh-Ngoc Tran, Robert Kohn
| Year of publication: |
2022
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|---|---|
| Authors: | Trong-Nghia Nguyen ; Minh-Ngoc Tran ; Kohn, Robert |
| Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 37.2022, 5, p. 1031-1054
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| Subject: | neural networks | conditional heteroskedasticity | deep learning | volatility modelling | Theorie | Theory | Neuronale Netze | Neural networks | Volatilität | Volatility | Heteroskedastizität | Heteroscedasticity | ARCH-Modell | ARCH model | Experiment |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2902 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013464647