In this paper we focus on the use of Extreme Learning Machines (ELMs) to appropriately capture the nonlinear dynamics of the range based estimators. The results on all the assets in the S&P500 index show that ELMs produce residuals without neglected nonlinearities
Exploring Non Linear Structures in Range-Based Volatility Time Series
Michele La Rocca;Cira Perna
2022-01-01
Abstract
In this paper we focus on the use of Extreme Learning Machines (ELMs) to appropriately capture the nonlinear dynamics of the range based estimators. The results on all the assets in the S&P500 index show that ELMs produce residuals without neglected nonlinearitiesFile in questo prodotto:
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