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Isara Khambut

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Estimating SET100 realized beta with long short-term memory model

This study examines whether a Long Short-Term Memory (LSTM) network, trained on ten firm-level and macroeconomic predictors, can forecast the one-year-ahead realized beta of SET100 stocks more accurately than the one-year daily and five-year monthly rolling regressions that practitioners rely on, using monthly out-of-s...

Isara Khambut · 0 citations