Volatility in the stock market: ANN versus parametric models

DOI10.1007/s10479-019-03374-0zbMath1477.62286OpenAlexW2991428028WikidataQ126774524 ScholiaQ126774524MaRDI QIDQ2241108

Daniele Clementi, Rita L. D'Ecclesia

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03374-0

zbMATH Keywords

implied volatilityGARCH modelsHeston modelANNconditional volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

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Cites Work

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