Boosting GARCH and neural networks for the prediction of heteroskedastic time series

DOI10.1016/j.mcm.2009.08.013zbMath1190.91126MaRDI QIDQ984159

J. M. Matías, Manuel Febrero-Bande, Wenceslao González Manteiga, Juan C. Reboredo

Publication date: 16 July 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2009.08.013

zbMATH Keywords

neural networks; GARCH; volatility; boosting; heteroskedasticity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

62M45: Neural nets and related approaches to inference from stochastic processes

Related Items

Forecasting energy commodity prices using neural networks

Uses Software

• AdaBoost.MH

Cites Work

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