How to Promote the Performance of Parametric Volatility Forecasts in the Stock Market? A Neural Networks Approach

This study uses the fourteen stock indices as the sample and then utilizes eight parametric volatility forecasting models and eight composed volatility forecasting models to explore whether the neural network approach and the settings of leverage effect and non-normal return distribution can promote...

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Detalles Bibliográficos
Autor principal: Su, Jung-Bin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8468884/
https://www.ncbi.nlm.nih.gov/pubmed/34573776
http://dx.doi.org/10.3390/e23091151

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8468884/
https://www.ncbi.nlm.nih.gov/pubmed/34573776
http://dx.doi.org/10.3390/e23091151

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