Introducing NBEATSx to Realized Volatility Forecasting HG Souto, A Moradi Expert Systems with Applications, 2023 | 14 | 2023 |
Time series forecasting models for S&P 500 financial turbulence HG Souto Journal of Mathematical Finance 13 (1), 112-129, 2023 | 9 | 2023 |
Topological tail dependence: Evidence from forecasting realized volatility HG Souto The Journal of Finance and Data Science 9, 100107, 2023 | 8 | 2023 |
Forecasting realized volatility through financial turbulence and neural networks HG Souto, A Moradi Economics and Business Review 9 (2), 133-160, 2023 | 6 | 2023 |
Augmented har HG Souto, J Blackmon, A Moradi SSRN Electronic Journal. https://doi. org/10.2139/ssrn 4516177, 2023 | 6 | 2023 |
Realized covariance matrix nbeatsx HG Souto, A Moradi SSRN Electronic Journal. https://doi. org/10.2139/ssrn 4529219, 2023 | 5 | 2023 |
Application of Persistent Homology in Forecasting Realized Volatility HG Souto Available at SSRN 4471531, 2023 | 4 | 2023 |
A novel loss function for neural network models exploring stock realized volatility using wasserstein distance HG Souto, A Moradi Decision Analytics Journal 10, 100369, 2024 | 3 | 2024 |
Distribution analysis of S&P 500 financial turbulence HG Souto Journal of Mathematical Finance 13 (1), 67-88, 2023 | 3 | 2023 |
FinTDA: Python package for estimating market change through persistent homology diagrams HG Souto, I Baris, SK Heuvel, A Moradi Software Impacts 20, 100637, 2024 | | 2024 |
Wasserstein distance loss function for financial time series deep learning HG Souto, A Moradi Software Impacts 20, 100639, 2024 | | 2024 |
Unraveling the ESG Reporting Landscape: A Comprehensive Analysis of Standards, Frameworks, and Impact on Firms A Moradi, Á Tóth-Pajor, HG Souto 43rd International Conference on Organizational Science Development: Green …, 2024 | | 2024 |
Yang & Zhang’s realized volatility: Automated estimation in Python HG Souto, A Moradi Software Impacts 19, 100613, 2024 | | 2024 |
Can Transformers Transform Financial Forecasting? H Gobato Souto, A Moradi Available at SSRN 4718033, 2024 | | 2024 |
TSMixer and Realized Volatility Prediction H Gobato Souto, SK Heuvel Available at SSRN, 2024 | | 2024 |
TimesNet for Realized Volatility Prediction H Gobato Souto Available at SSRN, 2023 | | 2023 |
NHITS for Forecasting Stock Realized Volatility H Gobato Souto Available at SSRN 4650761, 2023 | | 2023 |
Wasserstein Distance and Realized Volatility H Gobato Souto, A Moradi Available at SSRN 4539628, 2023 | | 2023 |
Realized Covariance Matrix NBEATSx H Gobato Souto, A Moradi Available at SSRN 4529219, 2023 | | 2023 |
Augmented HAR H Gobato Souto, J Blackmon, A Moradi | | 2023 |