Artificial Neural Network Based Non-linear Transformation of High-Frequency Returns for Volatility Forecasting.
Christian MücherPublished in: Frontiers Artif. Intell. (2021)
Keyphrases
- high frequency
- low frequency
- exchange rate
- garch model
- financial time series
- high resolution
- visual quality
- stock market
- wavelet transform
- subband
- short term
- grey model
- low pass
- high frequencies
- stock price
- high frequency components
- discrete wavelet transform
- wavelet coefficients
- stock exchange
- multi resolution analysis
- frequency band
- low bit rate coding
- wavelet decomposition
- non stationary
- support vector regression
- phase shifting
- multiscale
- similarity measure
- low and high frequency
- machine learning