We explore the relationship between the returns of 64 dry bulk shipping company stocks’ prices and the main 15 commodities that bulk carriers transport. Using a principal component analysis to reduce the dimensionality of the commodities dataset and a panel estimator, we find that a change in...

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...