Abstract:PurposeThis study aims to critically evaluate the competitiveness of Transformer-based models in financial forecasting, specifically in the context of stock realized volatility forecasting. It seeks to challenge and extend upon the assertions of Zeng et al. (2023) regarding the purported limitations of these models in handling temporal information in financial time series.Design/methodology/approachEmploying a robust methodological framework, the study systematically compares a range of Transformer models, inc… Show more
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