A neural network enhanced volatility component model

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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...

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Bibliographic Details
Main Authors:	Zhai, Jia, Cao, Yi, Liu, Xiaoquan
Format:	Article
Language:	English
Published:	2020
Subjects:	Wavelet analysis; ARMA process; Volatility prediction; Exchange rates
Online Access:	https://eprints.nottingham.ac.uk/60139/

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