Time-mixing and feature-mixing modelling for realized volatility forecast: evidence from TSMixer model (2024)
- Authors:
- USP affiliated authors: LOUZADA NETO, FRANCISCO - ICMC ; SOUTO, HUGO GOBATO - Interinstitucional de Pós-Graduação em Estatística
- Unidades: ICMC; Interinstitucional de Pós-Graduação em Estatística
- DOI: 10.1016/j.jfds.2024.100143
- Subjects: REDES NEURAIS; ANÁLISE DE SÉRIES TEMPORAIS; FINANÇAS
- Keywords: TSMixer; Financial time series; Stock realized volatility; S&P 100
- Agências de fomento:
- Language: Inglês
- Imprenta:
- Source:
- Título: The Journal of Finance and Data Science
- ISSN: 2405-9188
- Volume/Número/Paginação/Ano: v. 10, p. 1-38, 2024
- Este periódico é de acesso aberto
- Este artigo NÃO é de acesso aberto
-
ABNT
SOUTO, Hugo Gobato e HEUVEL, Storm Koert e LOUZADA, Francisco. Time-mixing and feature-mixing modelling for realized volatility forecast: evidence from TSMixer model. The Journal of Finance and Data Science, v. 10, p. 1-38, 2024Tradução . . Disponível em: https://doi.org/10.1016/j.jfds.2024.100143. Acesso em: 24 jan. 2026. -
APA
Souto, H. G., Heuvel, S. K., & Louzada, F. (2024). Time-mixing and feature-mixing modelling for realized volatility forecast: evidence from TSMixer model. The Journal of Finance and Data Science, 10, 1-38. doi:10.1016/j.jfds.2024.100143 -
NLM
Souto HG, Heuvel SK, Louzada F. Time-mixing and feature-mixing modelling for realized volatility forecast: evidence from TSMixer model [Internet]. The Journal of Finance and Data Science. 2024 ; 10 1-38.[citado 2026 jan. 24 ] Available from: https://doi.org/10.1016/j.jfds.2024.100143 -
Vancouver
Souto HG, Heuvel SK, Louzada F. Time-mixing and feature-mixing modelling for realized volatility forecast: evidence from TSMixer model [Internet]. The Journal of Finance and Data Science. 2024 ; 10 1-38.[citado 2026 jan. 24 ] Available from: https://doi.org/10.1016/j.jfds.2024.100143 - A generalization of the topological tail dependence theory: from indices to individual stocks
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Informações sobre o DOI: 10.1016/j.jfds.2024.100143 (Fonte: oaDOI API)
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