Volatility forecasting of clean energy ETF using GARCH-MIDAS with neural network model
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DOI: 10.1016/j.frl.2024.106286
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More about this item
Keywords
Clean energy ETF; Recurrent neural network; GARCH-MIDAS; Volatility forecasting;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
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