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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2021
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| 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 |