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RePEcDerivatives & Volatility

Ensemble Boosting Trees for Volatility Forecasting

The study finds ensemble boosting tree models, particularly CatBoost and LightGBM, more effective than traditional models in predicting China's crude oil futures volatility, with macroeconomic and HAR-type variables impacting forecasts differently.

Featured in No. 49 on 15 May 2024 · on release day

Released
15 May 2024
First featured
No. 49 · 15 May 2024
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Not yet, as far as Semantic Scholar knows
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Identifier
RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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