VAR-GRU: A Hybrid Model for Multivariate Financial Time Series Prediction
© 2020, Springer Nature Switzerland AG. A determining the most relevant variables and proper lag length are the most challenging steps in multivariate time series analysis. In this paper, we propose a hybrid Vector Autoregressive and Gated Recurrent Unit (VAR-GRU) model to find the contextual variab...
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| Main Authors: | , , , , |
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| Format: | Book Series |
| Published: |
2020
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85082385074&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/68349 |
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| Institution: | Chiang Mai University |