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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
In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...
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
In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a...
Persistent link: https://www.econbiz.de/10012966267
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Verifying the state of financing constraints : evidence from US business credit contracts
Meisenzahl, Ralf R. - In: Journal of economic dynamics & control 43 (2014), pp. 58-77
Persistent link: https://www.econbiz.de/10010470144
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The calibration of rating models : estimation of the probability of default based on advanced pattern classification methods
Konrad, Paul Markus - 2012
Persistent link: https://www.econbiz.de/10009663748
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Traditional versus novel forecasting techniques : how much do we gain?
Fernández, Viviana - In: Journal of forecasting 27 (2008) 7, pp. 637-648
Persistent link: https://www.econbiz.de/10003779617
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Learning machines supporting bankruptcy prediction
Härdle, Wolfgang; Moro, Rouslan; Hoffmann, Linda - 2010
uses historical data to establish a classification rule called a score or an SVM. Companies with scores above zero belong …
Persistent link: https://www.econbiz.de/10003973650
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Inflation and unemployment forecasting with genetic support vector regression
Sermpinis, Georgios; Stasinakis, Charalampos; … - In: Journal of forecasting 33 (2014) 6, pp. 471-487
Persistent link: https://www.econbiz.de/10010426238
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Forecasting corporate distress in the Asian and Pacific region
Moro, Russ; Härdle, Wolfgang; Aliakbari, Saeideh; … - 2011
Persistent link: https://www.econbiz.de/10009231331