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 …

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 …

The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical … literature on exchange rate forecasting is scarce. This article fills this gap by testing whether non-linear time series models … naive random walk in exchange rate forecasting contest …

In many macroeconomic forecasting applications factor models are used to cope with large datasets. This study aligns … variational autoencoders with macroeconomic factor modeling and proposes an extension to adapt this framework for forecasting … forecasting power. The results suggest significant improvements in the forecasting accuracy of four major US macroeconomic time …

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 …

Neural Network (GRNN) and compare its performance with a variety of forecasting techniques, including Multi … model is used for benchmark comparison. Our findings show that GRNN not only has a higher degree of forecasting accuracy but …

explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in …

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 …