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Topological tail dependence : evidence from forecasting realized volatility
Souto, Hugo Gobato - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26
This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory … behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure … of this study provide evidence that the predictions drawn from the Topological Tail Dependence Theory are correct and …
Persistent link: https://www.econbiz.de/10014514075
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Predicting stock returns : an experiment of the artificial neural network in Indian stock market
Panda, Chakradhara; Narasimhan, Velamur Krishnamachari - In: South Asia economic journal : journal of the Institute … 7 (2006) 2, pp. 205-218
Persistent link: https://www.econbiz.de/10003380756
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Modelling volatility and forecasting of exchange rate of British pound sterling and Indian rupee
Gupta, Sanjeev; Kashyap, Sachin - In: Journal of modelling in management 11 (2016) 2, pp. 389-404
Persistent link: https://www.econbiz.de/10011529491
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A quantile regression neural network approach to estimating the conditional density of multiperiod returns
Taylor, James W. - In: Journal of forecasting 19 (2000) 4, pp. 299-311
Persistent link: https://www.econbiz.de/10001504631
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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
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
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Forecasting exchange rates with linear and nonlinear models
Bissoondeeal, Rakesh K.; Binner, Jane M.; Bhuruth, Muddun; … - In: Global business & economics review 10 (2008) 4, pp. 414-429
Persistent link: https://www.econbiz.de/10003974812
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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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Combining state space reconstruction and forecasting by neural networks
Zimmermann, Hans Georg; Neuneier, Ralph - In: Datamining und computational finance : Ergebnisse des …, (pp. 259-267). 2000
Persistent link: https://www.econbiz.de/10001484338
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Forecasting exchange rates volatilities using artificial neural networks
Bonilla, María; Marco, Paulina; Olmeda, Ignacio - In: Financial modelling : with 74 tables : [a selection of …, (pp. 57-68). 2000
Persistent link: https://www.econbiz.de/10001484957
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Combining foreign exchange rate forecasts using neural networks
Lubecke, Thomas H. (contributor) - In: Global finance journal 9 (1998) 1, pp. 5-27
Persistent link: https://www.econbiz.de/10001249655