Intraday Volatility Forecasting
The paper presents a new model for predicting high-frequency intraday conditional discrete return densities and volatility using deep learning, which surpasses empirical nonparametric forecasting rules and Space State Models.
Featured in No. 93 on 16 Apr 2025 ·
- Released
- 1 Mar 2024
- First featured
- No. 93 · 16 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 5216864
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