Showing 1 - 10 of 26
Persistent link: https://www.econbiz.de/10009382601
Persistent link: https://www.econbiz.de/10001493825
Persistent link: https://www.econbiz.de/10001468898
Persistent link: https://www.econbiz.de/10000168636
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
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10003727640
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10003796151
Persistent link: https://www.econbiz.de/10003951049
Persistent link: https://www.econbiz.de/10003989791
Persistent link: https://www.econbiz.de/10003693057