Three essays on machine learning and time series applications on finance: Skew index and return predictability

Drawing on insights from three interconnected chapters, this Ph.D. thesis delivers a thorough examination of financial market forecasting and predictability, with a special emphasis on the predictive power of the Skew Index, the application of both traditional econometrics and state-of-the-art deep...

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Autores:
Vanegas Herrera, Esteban Nicolás
Tipo de recurso:
Doctoral thesis
Fecha de publicación:
2024
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/74576
Acceso en línea:
https://hdl.handle.net/1992/74576
Palabra clave:
Skew Index
SPY
Forecast
Predictability
Machine Learning
Deep Learning
Dense
LSTM
GRU
CNN
Hybrid-CNN
Administración
Rights
License
http://purl.org/coar/access_right/c_f1cf