2 papers
econ.EM2026
Recurrent Neural Networks for Forecasting Autoregressive Noncausal Processes
Joann Jasiak, Cheng Zhong
This paper examines the use of recurrent neural networks and their extensions for forecasting autoregressive causal-noncausal processes, characterized by local explosive patterns s…
econ.EM2025
Intraday Functional PCA Forecasting of Cryptocurrency Returns
Joann Jasiak, Cheng Zhong
We study the Functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return function…