Uta Pigorsch

University of Wuppertal

Gaußstraße 20

42097 Wuppertal

Germany

  • University of Wuppertal

SCHOLARLY PAPERS

2

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992

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0

Scholarly Papers (2)

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1.

Short- to Long-Term Realized Volatility Forecasting using Extreme Gradient Boosting

Number of pages: 52 Posted: 17 Nov 2022
Andreas Teller, Uta Pigorsch and Christian Pigorsch
Friedrich-Schiller-Universität Jena, University of Wuppertal and affiliation not provided to SSRN
Downloads 716 (78,144)

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Volatility Forecasting, Realized Variance, High-frequency Data, Extreme Gradient Boosting, LSTM, Machine Learning

2.

Anxiety in Returns

Number of pages: 37 Posted: 18 Oct 2022 Last Revised: 22 Mar 2023
Uta Pigorsch and Sebastian Schäfer
University of Wuppertal and University of Wuppertal
Downloads 276 (239,025)

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Cross section, Anomaly, Risk aversion, Asset pricing factors