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Thi Hien Nguyen

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

Deep Learning Enhanced Volatility Modeling with Covariates

Number of pages: 35 Posted: 07 Dec 2023
Thi Hien Nguyen, Hoang Nguyen and Minh-Ngoc Tran
affiliation not provided to SSRN, Linkoping University and The University of Sydney
Downloads 224 (355,774)

Abstract:

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GARCH, GARCH-X, volatility forecast, realized measures, sequence MonteCarlo.

Deep Learning Enhanced Volatility Modeling with Covariates

Number of pages: 35 Posted: 13 Mar 2024
Thi Hien Nguyen, Hoang Nguyen and Minh-Ngoc Tran
affiliation not provided to SSRN, Linkoping University and The University of Sydney
Downloads 41 (1,210,354)

Abstract:

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GARCH, GARCH-X, volatility forecast, realized measures, sequence MonteCarlo.