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Reconciling the return predictability evidence

Lettau, Martin; Nieuwerburgh, Stijn van - In: The review of financial studies 21 (2008) 4, pp. 1607-1652

Persistent link: https://www.econbiz.de/10003765314

Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns … Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure … opposed to the usual feedforward SVR. -- Recurrent support vector regression ; MLE ; recurrent MLP ; nonlinear ARMA …

Persistent link: https://www.econbiz.de/10003770766

Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328

Persistent link: https://www.econbiz.de/10003782984

A quantile-data mapping model for value-at-risk based on BP and support vector regression

Wu, Xiaodao; Sun, Yanfeng; Liang, Yanchun - In: Internet and network economics : first international …, (pp. 1094-1102). 2005

Persistent link: https://www.econbiz.de/10003276992

Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions

Bai, Jushan; Ng, Serena - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 4, pp. 1133-1150

Persistent link: https://www.econbiz.de/10003346183

Least squares predictors for threshold models : properties and forecast evaluation

Amendola, Alessandra; Niglio, Marcella; Vitale, Cosimo - In: Mathematical and statistical methods in insurance and …, (pp. 1-9). 2008

Persistent link: https://www.econbiz.de/10003837044

A note on takeover success prediction

Branch, Ben Shirley; Wang, Jia; Yang, Taewon - In: International review of financial analysis 17 (2008) 5, pp. 1186-1193

Persistent link: https://www.econbiz.de/10003792481

Confidence intervals for long-horizon predictive regressions via reverse regressions

Wei, Min; Wright, Jonathan H. - 2009

Persistent link: https://www.econbiz.de/10003867244

Financial risk forecasting with nonlinear dynamics and support vector regression

Tung, H. K. K.; Wong, Michael C. S. - In: Journal of the Operational Research Society : OR 60 (2009) 5, pp. 685-695

Persistent link: https://www.econbiz.de/10003872394

Least angle regression for time series forecasting with many predictors

Gelper, Sarah; Croux, Christophe - 2008

Persistent link: https://www.econbiz.de/10003976884