Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model
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DOI: 10.1002/for.3146
Abstract: Most existing studies on volatility forecasting have focused on interday characteristics and ignored intraday characteristics of high‐frequency data, especially the asymmetric impact of positive and negative jumps on volatility. In this paper, 5‐min high‐frequency data… read more here.
Keywords: positive negative; volatility forecasting; forecasting incorporating; volatility ... See more keywords