Miller, Dante; Kim, Jong-Min - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-10
multivariate machine learning methods such as recurrent neural networks, deep learning neural networks, Holt’s exponential … smoothing, autoregressive integrated moving average, ForecastX, and long short-term memory networks. The multivariate long short …-term memory networks performed better than the univariate machine learning methods in terms of the prediction error measures. …