DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions

DOI10.1080/14697688.2024.2387222MaRDI QIDQ6657687zbMATH OpenFDO

Authors Stefan Zohren

Publication date 6 January 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2387222

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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Cites work

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• Deep learning
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• Modelling the persistence of conditional variances
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• Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
• The Model Confidence Set
• Threshold heteroskedastic models
• Volatility clustering in financial markets: empirical facts and agent-based models
• Volatility comovement: a multifrequency approach
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(2)

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