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Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
16 references·0 citing·32 second hop
Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns (2010)Comparison of the finite mixture of ARMA-…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series (2005)A comparison of direct and it…Financial Forecasting Using Support Vector Machines (2001)Financial Forecasting Using S…Application of support vector machines in financial time series forecasting (2001)Application of support vector…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Forecasting Volatility (1997)Forecasting VolatilityAn artificial neural network-GARCH model for international stock return volatility (1997)An artificial neural network-…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Forecasting With Dynamic Regression Models. (1993)Forecasting With Dynamic Regr…Forecasting with Dynamic Regression Models (1991)Forecasting with Dynamic Regr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Prediction by Exponentially Weighted Moving Averages and Related Methods (1961)Prediction by Exponentially W…The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets (2009)Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models (2010)Forecasting Inflation (2013)Econometric Analysis of Cross Section and Panel Data (2001)Support vector machine with adaptive parameters in financial time series forecasting (2003)Forecasting stock market movement direction with support vector machine (2004)Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey (2009)Multivariate Simultaneous Generalized ARCH (1995)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Exponential smoothing: The state of the art (1985)Using daily stock returns (1985)
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References

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  • 1961Prediction by Exponentially Weighted Moving Averages and Related Methods

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263 cited
  • 1997An artificial neural network-GARCH model for international stock return volatility227 cited
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