Stochastic Variance Models in Discrete Time with Feedforward Neural Networks

DOI10.1162/NECO.2009.11-07-642MaRDI QIDQ3497613zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Charles Andoh

Publication date 27 July 2009

Published in Neural Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1162/neco.2009.11-07-642

zbMATH Keywords

double learningfeedforward neural networkGARCHstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An algorithm for nonparametric GARCH modelling.
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 53363 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• Multivariate Stochastic Variance Models
• Order statistics from the type i generalized logistic distribution
• Simulated Moments Estimation of Markov Models of Asset Prices

Cited in

(8)

• Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting
• Stability analysis of stochastic fractional-order competitive neural networks with leakage delay
• Neural network stochastic differential equation models with applications to financial data forecasting
• scientific article; zbMATH DE number 1304933 (Why is no real title available?)
• Volatility degree forecasting of stock market by stochastic time strength neural network
• An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
• Estimating market risk with neural networks
• Computational Science and Its Applications – ICCSA 2004

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