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Non-Linear interactions and exchange rate prediction : empirical evidence using support vector regression
Peng, Yaohao; Albuquerque, Pedro H. - In: Applied mathematical finance 26 (2019) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10012210260
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Cross-market information transmission and stock market volatility prediction
Wang, Yide; Chen, Zan; Ji, Xiaodong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014485465
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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 … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …
Persistent link: https://www.econbiz.de/10003636113
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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
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Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
Chen, Shiyi - 2017
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 … 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
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Forecasting stock index volatility with GARCH models : international evidence
Sharma, Prateek; Vipul - In: Studies in economics and finance 32 (2015) 4, pp. 445-463
Persistent link: https://www.econbiz.de/10011492253
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Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Journal of forecasting 36 (2017) 6, pp. 680-690
Persistent link: https://www.econbiz.de/10011861404
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Forecasting exchange rates with neural networks : time variation, nonstationarity, and causal models
Reikard, Gordon - In: International economic journal 37 (2023) 2, pp. 202-219
Persistent link: https://www.econbiz.de/10014295003
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Forecasting realized volatility using machine learning and mixed-frequency data (the case of the Russian stock market)
Pyrlik, Vladimir; Elizarov, Pavel; Leonova, Aleksandra - 2021
Persistent link: https://www.econbiz.de/10013163805
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Machine learning predictions of international stock returns
Tobek, Ondrej - 2019
Persistent link: https://www.econbiz.de/10012387039