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Non-Linear interactions and exchange rate prediction : empirical evidence using support vector regression
Peng, Yaohao; Albuquerque, Pedro H. - In: Applied mathematical finance 26 (2019) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10012210260
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The predictability of the exchange rate when combining machine learning and fundamental models
Zhang, Yuchen; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 13 (2020) 3/48, pp. 1-16
In 1983, Meese and Rogoff showed that traditional economic models developed since the 1970s do not perform better than the random walk in predicting out-of-sample exchange rates when using data obtained after the beginning of the floating rate system. Subsequently, whether traditional economical...
Persistent link: https://www.econbiz.de/10012174126
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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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 … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …
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
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 … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms …
Persistent link: https://www.econbiz.de/10012966267
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Forecasting and Hedging in the Foreign Exchange Markets
Ullrich, Christian (contributor) - 2009
The growing complexity of many real world problems is one of the biggest challenges of our time. The area of international finance is one prominent example where decision making is often fraud to mistakes, and tasks such as forecasting, trading and hedging exchange rates seem to be too difficult...
Persistent link: https://www.econbiz.de/10013521171
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Forecasting and hedging in the foreign exchange markets
Ullrich, Christian - 2009
Persistent link: https://www.econbiz.de/10003826244
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PSO based time series models applied in exchange rate forecasting for business performance management
Chang, Jui-Fang; Kuo li cheng kung-ta hsüeh <T'ainan> - In: Electronic commerce research 14 (2014) 3, pp. 417-434
Persistent link: https://www.econbiz.de/10010468695
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Univariate forecasting of Indian exchange rates : a comparison
Maitra, Biswajit - In: International journal of computational economics and … 5 (2015) 3, pp. 272-288
Persistent link: https://www.econbiz.de/10011413816