Realized recurrent conditional heteroskedasticity model for volatility modelling.
Chen LiuChao WangMinh-Ngoc TranRobert KohnPublished in: CoRR (2023)
Keyphrases
- computational model
- objective function
- probabilistic model
- similarity measure
- management system
- em algorithm
- theoretical analysis
- statistical model
- model construction
- information retrieval
- formal model
- simulation model
- feed forward
- experimental data
- mathematical model
- random variables
- probability distribution
- hidden markov models
- high level