CAN DEEP LEARNING BEAT TRADITIONAL ECONOMETRICS IN FORECASTING OF REALIZED VOLATILITY?
Volatility modelling is a field dominated by classic Econometric methods such as the Nobel Prize winning Autoregressive conditional heteroskedasticity (ARCH) model. This paper therefore investigates if the field of Deep Learning can live up to the hype and outperform classic Econometrics in forecast...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2020
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-412923 |