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.
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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.