Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting
type: Item
instance of: scholarly article
title: Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting
zbMATH Open document ID: 0928.62100
DOI: 10.1016/S0165-1684(98)00202-3
author: A. N. Burgess
author: A.-P. N. Refenes
published in: Signal Processing
publication date: 1999-04-28T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 68T05
zbMATH DE Number: 1281155
zbMATH Keywords: neural networks
zbMATH Keywords: time series analysis
zbMATH Keywords: volatility
zbMATH Keywords: model identification
MaRDI profile type: MaRDI publication profile
full work available at URL: s0165-1684(98)00202-3
OpenAlex ID: W1995474051
Recommended article: Q4233422
Recommended article: A neural network approach to understanding implied volatility movements
Recommended article: A neural network enhanced volatility component model
Recommended article: Computational Science and Its Applications – ICCSA 2004
Recommended article: Neural network stochastic differential equation models with applications to financial data forecasting
Recommended article: Q5430276
Recommended article: Stochastic Variance Models in Discrete Time with Feedforward Neural Networks
Recommended article: A hybrid option pricing model using a neural network for estimating volatility
Recommended article: Neural network calibrated stochastic processes: forecasting financial assets
Recommended article: Q4688210
description: scientific article; zbMATH DE number 1281155