SSRNEconometrics & Forecasting
A Dynamic Regime-Switching Model Using Gated Recurrent Straight-Through Units
The Gated Recurrent Straightthrough Unit (GRSTU), a new deep learning model, outperforms statistical jump models in identifying regime changes in the S&P500 index, especially with smaller datasets.
Featured in No. 47 on 1 May 2024 · 2 days after release · 6 citations today
- Released
- 29 Apr 2024
- First featured
- No. 47 · 1 May 2024
- Citations (Semantic Scholar)
- 6
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 143
- Identifier
- SSRN 4810879
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).