HighFrequencyEconometrics-HAR-vs.-Neural-Networks
Inspired by Hillebrand & Medeiros (2009) and Corsi (2009), I put neural networks in a High frequency environment, and tested the performance of the two models (HAR & Neural Networks). - The data used in this project is 2 years worth of intraday 5-minute realized volatility (See: Sheppard, Patton, Liu, 2012) from 20 Dow Jones stocks, that has been scrutinized using bivariate analysis and manipulation into a single dimension.
