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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

Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

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

Essays on financial econometrics

Marcucci, Juri - 2005

Persistent link: https://www.econbiz.de/10003384566

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...