Volatility forecasting with machine learning and intraday commonality
Year of publication: |
2024
|
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Authors: | Zhang, Chao ; Zhang, Yihuang ; Cucuringu, Mihai ; Qian, Zhongmin |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 492-530
|
Subject: | commonality | intraday volatility forecasting | neural networks | realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | ARCH-Modell | ARCH model | Künstliche Intelligenz | Artificial intelligence | Kapitaleinkommen | Capital income |
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