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Gaussian Process Regression Stochastic Volatility Model for Financial Time Series
16 references·13 citing·21 second hop
Gaussian Process Regression Stochastic Volatility Model for Financial Time Series (2016)Gaussian Process Regression Stochastic Vo…The Econometrics of Financial Markets (2012)The Econometrics of Financial…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Predicting Scrap Steel Prices Through Machine Learning for South China (2025)Predicting Scrap Steel Prices…Machine learning predictions of China commodity price indices (2025)Machine learning predictions …Machine learning platinum price predictions (2025)Machine learning platinum pri…Machine learning natural gas price predictions (2025)Machine learning natural gas …Machine learning gold price forecasting (2025)Machine learning gold price f…Forecasts of wholesale food price indices through Gaussian process regressions (2025)Forecasts of wholesale food p…Steel price index forecasts through machine learning for northwest China (2024)Steel price index forecasts t…Regional steel price index predictions for the southwest Chinese market through machine learning (2024)Regional steel price index pr…Predicting open interest in thermal coal futures using machine learning (2024)Predicting open interest in t…Office real estate price index forecasts through Gaussian process regressions for ten major Chinese cities (2024)Office real estate price inde…Machine learning-based forecasts of residential property prices in Hangzhou City, Zhejiang Province, China (2024)Machine learning-based foreca…A Gaussian process regression machine learning model for forecasting retail property prices with Bayesian optimizations and cross-validation (2023)A Gaussian process regression…Signal Processing for Finance, Economics, and Marketing: Concepts, framework, and big data applications (2017)Signal Processing for Finance…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Cross‐Section of Volatility and Expected Returns (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited

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  • 2007Modelling Financial Time Series1,415 cited
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