Estimating GARCH models using support vector machines*
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Cites work
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Estimation of dependences based on empirical data. Transl. from the Russian by Samuel Kotz
- Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1243473 (Why is no real title available?)
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- scientific article; zbMATH DE number 1950576 (Why is no real title available?)
- scientific article; zbMATH DE number 928746 (Why is no real title available?)
- scientific article; zbMATH DE number 3350922 (Why is no real title available?)
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Robust Estimation of a Location Parameter
- SVC-based equalizer for burst TDMA transmissions.
- The Distribution of Realized Exchange Rate Volatility
- What good is a volatility model?
Cited in
(12)- Shape constrained risk-neutral density estimation by support vector regression
- Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
- Support vector machine as an efficient framework for stock market volatility forecasting
- Estimating the market share attraction model using support vector regressions
- Forecasting volatility with support vector machine-based GARCH model
- Non-parametric estimation of a multiscale CHARN model using SVR
- Estimating and forecasting APARCH-skew-t model by wavelet support vector machines
- Predict GARCH based volatility of Shanghai composite index by recurrent relevant vector machines and recurrent least square support vector machines
- Conditional quantile change test for time series based on support vector regression
- Incorporating causality in energy consumption forecasting using deep neural networks
- Robust monitoring conditional volatility change for time series based on support vector regression
- Boosting GARCH and neural networks for the prediction of heteroskedastic time series
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