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Business Systems Research Journal
Volume 9 (2018): Issue 2 (July 2018)
Open Access
Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data
Josip Arnerić
Josip Arnerić
,
Tea Poklepović
Tea Poklepović
and
Juin Wen Teai
Juin Wen Teai
| Jul 28, 2018
Business Systems Research Journal
Volume 9 (2018): Issue 2 (July 2018)
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Published Online:
Jul 28, 2018
Page range:
18 - 34
Received:
Jan 29, 2018
Accepted:
Apr 21, 2018
DOI:
https://doi.org/10.2478/bsrj-2018-0016
Keywords
high-frequency data
,
realized variance
,
nonlinearity
,
long memory
,
jumps
,
leverage
,
feedforward neural networks
,
Heterogeneous AutoRegressive model
© 2018 Josip Arnerić, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Josip Arnerić
Faculty of Economics and Business, University of Zagreb,
Zagreb, Croatia
Tea Poklepović
Faculty of Economics, Business and Tourism, University of
Split, Croatia
Juin Wen Teai
National University of
Singapore, Singapore