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1. A machine learning approach to volatility forecasting

   Author: Christensen, Kim; Siggaard, Mathias Voldum; Veliyev, Bezirgen

   Published: [2021]

   Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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   Verlag (kostenfrei) Verlag (kostenfrei) Verlag (kostenfrei)

   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

   Location:

   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   VS 564

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   No inter-library loan

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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Online
   Series:	CREATES research paper ; 2021, 03
   Subjects:	Gradient boosting; high-frequency data; machine learning; neural network; random forest; realized variance; regularization; volatility forecasting
   Scope:	1 Online-Ressource (circa 49 Seiten), Illustrationen