DeepVol: Volatility Forecasting with Dilated Causal Convolutions
Volatility Forecasting with Dilated Causal Convolutions: The study introduces DeepVol, a model using Dilated Causal Convolutions, which effectively uses high-frequency data to predict next-day market volatility.
Featured in No. 74 on 13 Nov 2024 · on release day
- Released
- 13 Nov 2024
- First featured
- No. 74 · 13 Nov 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 27
- Identifier
- RePEc:taf:quantf:v:24:y:2024:i:8:p:1105-1127
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