Zobrazeno 1 - 2
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pro vyhledávání: '"Morvan Nongni Donfack"'
Autor:
Arnaud Dufays, Morvan Nongni Donfack
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 25:311-343
We propose a new volatility process in which parameters vary over time according to an artificial neural network (ANN). We prove the process’s stationarity as well as the global identification of the parameters. Since ANNs require economic series a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c27efbf33cdaf5bc151383443cc26461
https://doi.org/10.1515/snde-2019-0091
https://doi.org/10.1515/snde-2019-0091
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08e8a1d6e262f5de93b6b20c1fe16a43
https://doi.org/10.2139/ssrn.3988436
https://doi.org/10.2139/ssrn.3988436