From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks
利用半球神经网络实现主动与反应式波动建模
We reinvigorate maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres. Our architecture features several key ingredients making MLE work in this context. First, the hemispheres share a common core at the entrance of the network which accommodates for various forms of time variation in the error variance. Second, we introduce a volatility emphasis constraint that…