Forecasting volatility with support vector machine-based GARCH model
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Cites work
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- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- ARCH modeling in finance. A review of the theory and empirical evidence
- ARMA representation of integrated and realized variances
- Asymptotic Inference about Predictive Ability
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrapping nonparametric estimators of the volatility function.
- Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
- Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
- Financial forecasting using support vector machines
- Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
- Generalized autoregressive conditional heteroscedasticity
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 823069 (Why is no real title available?)
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- Markov chain Monte Carlo methods for stochastic volatility models.
- Modeling and Forecasting Realized Volatility
- Nonparametric estimation of stochastic volatility models
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Predictive density estimators for daily volatility based on the use of realized measures
- Quadratic ARCH Models
- Statistical Tools for Finance and Insurance
Cited in
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- Intraday volume percentages forecasting using a dynamic SVM-based approach
- Support vector machine as an efficient framework for stock market volatility forecasting
- Financial prediction based on wavelet support vector machine
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- FORECASTING HIGH-FREQUENCY FINANCIAL DATA VOLATILITY VIA NONPARAMETRIC ALGORITHMS: EVIDENCE FROM TAIWAN'S FINANCIAL MARKETS
- Combining Monte Carlo Filters with Support Vector Machines for Option Price Forecasting
- Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
- Estimating GARCH models using support vector machines*
- Estimating and forecasting APARCH-skew-t model by wavelet support vector machines
- scientific article; zbMATH DE number 1927182 (Why is no real title available?)
- scientific article; zbMATH DE number 2101188 (Why is no real title available?)
- Predict GARCH based volatility of Shanghai composite index by recurrent relevant vector machines and recurrent least square support vector machines
- A neural network enhanced volatility component model
- Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
- Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
- News augmented GARCH(1,1) model for volatility prediction
- A hybrid support vector machine regression for exchange rate prediction
- Combining wavelet-based feature extractions with SVMs for financial time series forecasting
- Conditional quantile change test for time series based on support vector regression
- Robust monitoring conditional volatility change for time series based on support vector regression
- Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns
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