Boosting GARCH and neural networks for the prediction of heteroskedastic time series
DOI10.1016/J.MCM.2009.08.013zbMATH Open1190.91126OpenAlexW2043726821MaRDI QIDQ984159FDOQ984159
Authors: 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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Neural nets and related approaches to inference from stochastic processes (62M45)
Cites Work
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- Reprint of: Generalized autoregressive conditional heteroskedasticity
Cited In (6)
- GARCH based artificial neural networks in forecasting conditional variance of stock returns
- Prediction and identification of physical systems by means of physically-guided neural networks with meaningful internal layers
- Boosting techniques for nonlinear time series models
- Forecasting energy commodity prices using neural networks
- Ai algorithms for fitting GARCH parameters to empirical financial data
- An application of neural networks trained with Kalman filter variants (EKF and UKF) to heteroscedastic time series forecasting
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