A neural network enhanced volatility component model
Volatility prediction, a central issue in financial econometrics, attracts increasing attention in the data science literature as advances in computational methods enable us to develop models with great forecasting precision. In this paper, we draw upon both strands of the literature and develop a n...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/60139/ |