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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 … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …

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

Forecasting foreign exchange volatility : why is implied volatility biased and inefficient? ; and does it matter?

Neely, Christopher J. - In: Journal of international financial markets, … 19 (2009) 1, pp. 188-205

Persistent link: https://www.econbiz.de/10003797288

Sampling properties of criteria for evaluating GARCH volatility forecasts

Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681

Persistent link: https://www.econbiz.de/10003491214

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

Model-free versus model-based volatility prediction

Politis, Dimitris N. - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 358-389

Persistent link: https://www.econbiz.de/10003518495

Essays on the correlation of foreign exchange rates

Burckhardt, Nicolas - 2012

Im Gegensatz zur Volatilität wurde der Korrelation in der Forschung bisher viel weniger Beachtung geschenkt, obwohl die Korrelation in der Finanzwissenschaft eine zentrale Rolle spielt. Die vorliegende Doktorarbeit ergänzt die bestehende Literatur, indem sie verschiedene Aspekte der...

Persistent link: https://www.econbiz.de/10009713291