Search Results for author: Xandro Bayer

Found 1 papers, 1 papers with code

HARNet: A Convolutional Neural Network for Realized Volatility Forecasting

1 code implementation16 May 2022 Rafael Reisenhofer, Xandro Bayer, Nikolaus Hautsch

HARNets allow for an explicit initialization scheme such that before optimization, a HARNet yields identical predictions as the respective baseline HAR model.

Time Series Analysis

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