HANET is a hierarchical mixed-frequency attention model that improves forecasting of asset returns by attending over historical macroeconomic contexts rather than ignoring or naively concatenating macro features.
and Ooi, Yao Hua and Pedersen, Lasse Heje , title =
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Macro-aware time series forecasting via hierarchical mixed-frequency attention models
HANET is a hierarchical mixed-frequency attention model that improves forecasting of asset returns by attending over historical macroeconomic contexts rather than ignoring or naively concatenating macro features.