Discover @jacob-hein Open Source projects

Jacob Hein (@jacob-hein)

jacob-hein

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Global Rank 658,567 (Top 23 %)
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Registered about 6 years ago
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Location 🇩🇰 Denmark
Country Total Rank 3,779
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408

HAR-models-forecasting-realized-volatility-in-US-stocks

heterogenous autoregressive (HAR) models of Bollerslev et al. (2016) implemented in R to forecast the intraday measure of realized volatilty in select US stocks

Machine-learning-vs.-autoregression-forecasting-ETF-realized-volatilty

A machine learning approach of recurrent neural networks outperforms heterogenous autoregressive (HAR) models in out-of-sample forecasting of realized volatility in customized ETFs.

Predicting-unemployment-rates-with-Twitter-sentiment

A recurrent LSTM neural network takes as input weekly US unemployment rates, twitter sentiment scores and covid-19 cases to predict one-week-ahead unemployment rates

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