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Forex exchange rate forecasting using deep recurrent neural networks

Dautel, Alexander Jakob; Härdle, Wolfgang; Lessmann, Stefan - In: Digital finance : smart data analytics, investment … 2 (2020) 1/2, pp. 69-96

Persistent link: https://www.econbiz.de/10012284950

Forecasting volatility with support vector machine-based GARCH model

Shiyi, Chen; Härdle, Wolfgang; Jeong, Kiho - In: Journal of forecasting 29 (2010) 4, pp. 406-433

Persistent link: https://www.econbiz.de/10003989791

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10003636113

Adaptive order flow forecasting with multiplicative error models

Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014

A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...

Persistent link: https://www.econbiz.de/10010374563

Stochastic population forecast for Germany and its consequence for the German pension system

Härdle, Wolfgang; Mysickova, Alena - 2009

forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain … doubles by 2040. -- Demographic forecasting ; population projection ; stochastic demography …

Persistent link: https://www.econbiz.de/10003814452

Forecasting the term structure of variance swaps

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2006

Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …