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financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …
Persistent link: https://www.econbiz.de/10012966267
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
financial index price forecasting. …
Persistent link: https://www.econbiz.de/10014497016
Persistent link: https://www.econbiz.de/10000941826
The topic of this chapter is forecasting with nonlinear models. First, a number of well-known nonlinear models are … linear model. There exist relatively large studies in which the forecasting performance of nonlinear models is compared with …
Persistent link: https://www.econbiz.de/10014023698
explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in …
Persistent link: https://www.econbiz.de/10014235825
This paper analyses inflation forecasting power of artificial neural networks with alternative univariate time series … models for Turkey. The forecasting accuracy of the models is compared in terms of both static and dynamic forecasts for the …, provide better one-step ahead forecasting performance. However, unobserved components model turns out to be the best performer …
Persistent link: https://www.econbiz.de/10009125642
In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the...
Persistent link: https://www.econbiz.de/10009696691
Purpose – We use a large and rich data set consisting of over 123,000 single-family houses sold in Switzerland between 2005 and 2017 to investigate the accuracy and volatility of different methods for estimating and updating hedonic valuation models.Design/methodology/approach – We apply six...
Persistent link: https://www.econbiz.de/10011976945
returns plays an important role for volatility forecasting. Additionally, models utilizing a logarithmic transformation of the … an easy-to-use and accurate tool for realized variance forecasting, whose performance may potentially be further improved …
Persistent link: https://www.econbiz.de/10011818288