Titre:
  • A Multivariate and Multi-step Ahead Machine Learning Approach to Traditional and Cryptocurrencies Volatility Forecasting
Auteur:De Stefani, Jacopo; Caelen, Olivier; Hattab, Dalila; Le Borgne, Yann-Aël; Bontempi, Gianluca
Informations sur la publication:ECML-PKDD 2018(Dublin), ECML PKDD 2018 Workshops, Springer
Statut de publication:Publié, 2019-02-07
series:Lecture Notes in Computer Science, 11054, 11054
Sujet CREF:Informatique générale
Mots-clés:Multivariate time series forecasting
Volatility forecasting
Multi-step ahead forecast
Dynamic factor models
Note générale:SCOPUS: cp.k
Langue:Anglais
Identificateurs:urn:isbn:978-3-030-13462-4
info:doi/https://doi.org/10.1007/978-3-030-13463-1_1
info:scp/85063442106