Browsing Institutt for samfunnsøkonomi by Journals "International Journal of Data Science and Analytics (JDSA)"
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Forecasting implied volatilities of currency options with machine learning techniques and econometrics models
(Journal article; Peer reviewed, 2024)Developing an effective modeling framework to minimize foreign exchange (FX) risk is of vital importance for hedgers and traders in FX markets. In this study, we compare the ability of long short-term memory (LSTM) models ...