Riku Green

Deployment-Side Adaptiveness in Multi-Horizon Volatility Forecasting

Riku Green, Zahraa S. Abdallah, Telmo M Silva Filho

In financial forecasting, predictive performance depends not only on which model is trained, but also on how the trained model is deployed. We study this issue in multi-horizon volatility forecasting. Our starting point is that a trained multi-output (MIMO) forecaster does not de…Read more