Luedman / ForecastingRealizedCovariance

Master Thesis: Forecasting Realized Covariance Matrices with LSTM and Echo State Networks, 2020

Master Thesis Forecasting Realized Covariance Matrices with LSTM and Echo State Networks

Code Appendix

Requirements:

Python 3.6.9

• Tensorflow 2.0.0
• Sklearn 0.21.3
• Pandas 0.25.2
• Matplotlib 3.1.1
• Scipy 1.3.1
• Bayesian Optimization 1.1.0
• Numpy 1.17.2
• arch 4.13

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