Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
Year of publication: |
2008-01
|
---|---|
Authors: | Chen, Shiyi ; Jeong, Kiho ; Härdle, Wolfgang |
Institutions: | Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät |
Subject: | recurrent support vector regression | GARCH model | volatility forecasting |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number SFB649DP2008-014 27 pages |
Classification: | C45 - Neural Networks and Related Topics ; C53 - Forecasting and Other Model Applications ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Chen, Shiyi, (2008)
-
Chen, Shiyi, (2017)
-
Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin, (2004)
- More ...
-
Chen, Shiyi, (2008)
-
A Consistent Nonparametric Test for Causality in Quantile
Jeong, Kiho, (2008)
-
Estimation of Default Probabilities with Support Vector Machines
Chen, Shiyi, (2006)
- More ...