Transformer-Based Downside Risk Forecasting: A Data-Driven Approach with Realized Downward Semi-Variance

Realized downward semi-variance (RDS) has been realized as a key indicator to measure the downside risk of asset prices, and the accurate prediction of RDS can effectively guide traders’ investment behavior and avoid the impact of market fluctuations caused by price declines. In this paper, the RDS...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Yuping Song, Yuetong Zhang, Po Ning, Jiayi Peng, Chunyu Kao, Liang Hao
Format:	Article
Language:	English
Published:	MDPI AG 2025-04-01
Subjects:	downside risk realized downside semi-variance transformer rolling window DM test
Online Access:	https://www.mdpi.com/2227-7390/13/8/1260