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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - In: The European journal of finance 11 (2005) 1, pp. 33-57
Persistent link: https://www.econbiz.de/10002812475
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - 1998
Persistent link: https://www.econbiz.de/10000981021
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NNPF : Neural Network Particle Filter for time series data
Peerlings, Dewi; Brakel, Jan A. van den; Baştürk, Nalan - 2024
Persistent link: https://www.econbiz.de/10014524761
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Calibrating FBSDEs driven models in finance via NNs
Di Persio, Luca; Lavagnoli, Emanuele; Patacca, Marco - In: Risks : open access journal 10 (2022) 12, pp. 1-19
differential equation via a forward-backward neural network, also calibrating the related stochastic volatility model when dealing … with European options. The obtained results exhibit accurate approximations of the implied volatility surface. Specifically …
Persistent link: https://www.econbiz.de/10014230888
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Forecasting electricity price in Colombia : a comparison between neural network, ARMA process and hybrid models
Barrientos, Jorge Hugo; Orozco, Elkin Tabares; Velilla, … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 97-106
Persistent link: https://www.econbiz.de/10011881289
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Effective crude oil prediction using CHS-EMD decomposition and PS-RNN model
Usha Ruby, A.; Chandran, J. George Chellin; Chaithanya, … - In: Computational economics 64 (2024) 2, pp. 1295-1314
Persistent link: https://www.econbiz.de/10015078090
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Forecasting economic time series using locally stationary processes : a new approach with applications
Loll, Tina - 2012
Persistent link: https://www.econbiz.de/10009511784
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Bayesian inference on mixture-of-experts for estimation of stochastic volatility
Villagran, Alejandro; Huerta, Gabriel - 2006
Persistent link: https://www.econbiz.de/10003350108
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Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001595495
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Semiparametric diffusion estimation and application to a stock market model
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001619299