Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns
DOI10.1007/S00180-014-0543-9zbMATH Open1342.65027OpenAlexW2059335753MaRDI QIDQ740075FDOQ740075
Authors: Shiyi Chen, Kiho Jeong, Wolfgang K. Härdle 
Publication date: 12 August 2016
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-051.pdf
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Cited In (5)
- Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
- Predict GARCH based volatility of Shanghai composite index by recurrent relevant vector machines and recurrent least square support vector machines
- Editorial to the special issue on applicable semiparametrics of computational statistics
- Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression
- Financial risk forecasting with nonlinear dynamics and support vector regression
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