2 ms·
I have not tried RNN and use ARMA models. Regarding beta estimation, I recommend the recent paper "Simpler Better Market Betas" by Ivo Welch https://papers.ssrn
by Bostonian 7y ago
I have not tried RNN and use ARMA models. Regarding beta estimation, I recommend the recent paper "Simpler Better Market Betas" by Ivo Welch https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371240 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3371240 .