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Cholesky–ANN models for predicting multivariate realized volatility
16 references·2 citing·47 second hop
Cholesky–ANN models for predicting multivariate realized volatility (2020)Cholesky–ANN models for predicting multiv…Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018)Forecasting the volatility of…A deep learning framework for financial time series using stacked autoencoders and long-short term memory (2017)A deep learning framework for…‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables (2012)‘Déjà vol’: Predictive regres…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Estimating quadratic variation using realized variance (2002)Estimating quadratic variatio…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Serial Order: A Parallel Distributed Processing Approach (1997)Serial Order: A Parallel Dist…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Forecasting exchange rates using feedforward and recurrent neural networks (1995)Forecasting exchange rates us…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Economic prediction using neural networks: the case of IBM daily stock returns (1988)Economic prediction using neu…Forecasting realized volatility: Does anything beat linear models? (2024)Forecasting realized volatili…Covariance matrix forecasting using support vector regression (2021)Covariance matrix forecasting…Plans and the structure of behavior. (1960)A course in phonetics . By Peter Ladefoged. New York: Harcourt Brace Jovanovich, 1975. Pp. xvi, 296. $5.95. (1977)An interactive activation model of context effects in letter perception: I. An account of basic findings. (1981)A Dynamical Approach to Gestural Patterning in Speech Production (1989)Speech sound acquisition, coarticulation, and rate effects in a neural network model of speech production. (1995)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Does Anything Beat 5-Minute RV? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 1997Serial Order: A Parallel Distributed Processing Approach1,242 cited
  • 2017A deep learning framework for financial time series using stacked autoencoders and long-short term memory1,131 cited
  • 2018Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models786 cited
  • 1988Economic prediction using neural networks: the case of IBM daily stock returns698 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 2002Estimating quadratic variation using realized variance618 cited

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2012
‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
486 cited
  • 1995Forecasting exchange rates using feedforward and recurrent neural networks428 cited
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    • 2024Forecasting realized volatility: Does anything beat linear models?25 cited
    • 2021Covariance matrix forecasting using support vector regression20 cited