. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly … used to construct a forecast. Second, we discuss random projection regression, where artificial predictors are formed by … randomly weighting the original predictors. Using recent results from random matrix theory, we obtain a tight bound on the mean …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …