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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.