Forecasting Forex Market Volatility Using Deep Learning Models and Complexity Measures
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- Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2008. "Volatility forecasting using threshold heteroskedastic models of the intra-day range," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2990-3010, February.
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Keywords
deep learning algorithms; complexity measures; recurrent neural networks; long short-term memory; gated recurrent units; hurst exponent; fuzzy entropy; econophysics; forex market; volatility;All these keywords.
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