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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 … 30, 2005. The experiment shows that, under both varying and fixed forecasting schemes, the SVR-based GARCH outperforms … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10003636113
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Artificial neural network regression models : predicting GDP growth
Jahn, Malte - 2018
forecasting, as demonstrated by out-of-sample predictions for 2017. …
Persistent link: https://www.econbiz.de/10011897260
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Forecasting economic activity using a neural network in uncertain times : Monte Carlo evidence and application to the German GDP
Holtemöller, Oliver; Kozyrev, Boris - Leibniz-Institut für Wirtschaftsforschung Halle - 2024
In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN …
Persistent link: https://www.econbiz.de/10014496850
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Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229
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Economic determinants of regional trade agreements revisited using machine learning
Blöthner, Simon; Larch, Mario - 2021
While traditional empirical models using determinants like size and trade costs are able to predict RTA formation reasonably well, we demonstrate that allowing for machine detected non-linear patterns helps to improve the predictive power of RTA formation substantially. We employ machine...
Persistent link: https://www.econbiz.de/10012602123
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Whose inflation rates matter most? : a DSGE model and machine learning approach to monetary policy in the Euro area
Stempel, Daniel; Zahner, Johannes - 2023 - This version: May 31, 2023
In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...
Persistent link: https://www.econbiz.de/10014299409
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DSGE models and machine learning : an application to monetary policy in the euro area
Stempel, Daniel; Zahner, Johannes - 2022 - Draft: August 15, 2022
In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...
Persistent link: https://www.econbiz.de/10013350856
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Estimation and updating methods for hedonic valuation
Mayer, Michael; Bourassa, Steven C.; Hoesli, Martin; … - 2018
Purpose – We use a large and rich data set consisting of over 123,000 single-family houses sold in Switzerland between 2005 and 2017 to investigate the accuracy and volatility of different methods for estimating and updating hedonic valuation models.Design/methodology/approach – We apply six...
Persistent link: https://www.econbiz.de/10011976945
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Security assessment and optimization of energy supply
Jasiński, Tomasz; Ścianowska, Agnieszka - 2014
economy today. The study describes modern methods of forecasting emergency situations using Artificial Intelligence (AI) tools …
Persistent link: https://www.econbiz.de/10012001143
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Forecasting stock market averages to enhance profitable trading strategies
Häfke, Christian; Helmenstein, Christian - 1995
In this paper we design a simple trading strategy to exploit the hypothesized distinct informational content of the arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture. The profits generated by this cheaply replicable...
Persistent link: https://www.econbiz.de/10009696690