Co-Training Realized Volatility Prediction Model with Neural Distributional Transformation

Author:

Du Xin1ORCID,Moriyama Kai1ORCID,Tanaka-Ishii Kumiko1ORCID

Affiliation:

1. Tanaka-Ishii Laboratory, Waseda University, Japan

Funder

Japan Society for the Promotion of Science

Publisher

ACM

Reference41 articles.

1. Noise Flow: Noise Modeling With Conditional Normalizing Flows

2. Torben G Andersen Tim Bollerslev Francis X Diebold and Paul Labys. 2000. Exchange rate returns standardized by realized volatility are (nearly) Gaussian. Torben G Andersen Tim Bollerslev Francis X Diebold and Paul Labys. 2000. Exchange rate returns standardized by realized volatility are (nearly) Gaussian.

3. Leonard  E Baum and Ted Petrie . 1966. Statistical inference for probabilistic functions of finite state Markov chains. The annals of mathematical statistics 37, 6 ( 1966 ), 1554–1563. Leonard E Baum and Ted Petrie. 1966. Statistical inference for probabilistic functions of finite state Markov chains. The annals of mathematical statistics 37, 6 (1966), 1554–1563.

4. An Analysis of Transformations

5. Olivier Cappé , Eric Moulines , and Tobias Rydén . 2005. Inference in hidden Markov models . Springer , New York ; London. OCLC: ocm61260826. Olivier Cappé, Eric Moulines, and Tobias Rydén. 2005. Inference in hidden Markov models. Springer, New York ; London. OCLC: ocm61260826.

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