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A GARCH Model with Artificial Neural Networks
15 references·0 citing·44 second hopsampled
A GARCH Model with Artificial Neural Networks (2020)A GARCH Model with Artificial Neural Netw…Deep Learning in Asset Pricing (2019)Deep Learning in Asset PricingAsymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models (2019)Asymmetric volatility in cryp…Regime changes in Bitcoin GARCH volatility dynamics (2018)Regime changes in Bitcoin GAR…Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018)Forecasting the volatility of…Forecasting volatility of oil price using an artificial neural network-GARCH model (2016)Forecasting volatility of oil…Deep Learning in Finance (2016)Deep Learning in FinanceGold price volatility: A forecasting approach using the Artificial Neural Network–GARCH model (2015)Gold price volatility: A fore…Energy markets volatility modelling using GARCH (2014)Energy markets volatility mod…Estimation of multiple period expected shortfall and median shortfall for risk management (2010)Estimation of multiple period…Volatility forecasting with double Markov switching GARCH models (2008)Volatility forecasting with d…Option pricing in a Garch model with tempered stable innovations (2008)Option pricing in a Garch mod…Why Do Absolute Returns Predict Volatility So Well? (2006)Why Do Absolute Returns Predi…On a threshold heteroscedastic model (2005)On a threshold heteroscedasti…Empirical analysis of GARCH models in value at risk estimation (2005)Empirical analysis of GARCH m…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A conditional-SGT-VaR approach with alternative GARCH models (2006)Practical Issues in the Analysis of Univariate GARCH Models (2009)Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models (2017)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018)Geopolitical risk and oil volatility: A new insight (2019)ARCH modeling in finance (1992)Developing a stress testing framework based on market risk models (2008)Frontiers in VaR forecasting and backtesting (2016)Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach (2020)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm (2019)Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models (2019)Peanut oil price change forecasts through the neural network (2025)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)A CNN-LSTM-Based Model to Forecast Stock Prices (2020)Forecasting stock prices with long-short term memory neural network based on attention mechanism (2020)A Survey of Forex and Stock Price Prediction Using Deep Learning (2021)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Evaluating Interval Forecasts (1998)Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models (2018)Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019)The volatility of Bitcoin and its role as a medium of exchange and a store of value (2021)Dynamic Conditional Correlation (2002)Forecasting gold price using a novel hybrid model with ICEEMDAN and LSTM-CNN-CBAM (2022)The arbitrage theory of capital asset pricing (1976)Predictability of Stock Returns: Robustness and Economic Significance (1995)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models (2022)Machine learning methods in finance: Recent applications and prospects (2022)Machine learning and fund characteristics help to select mutual funds with positive alpha (2023)A long memory property of stock market returns and a new model (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2008)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Should Macroeconomic Forecasters Use Daily Financial Data and How? 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References

  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2018Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models786 cited
  • 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
  • 2018Regime changes in Bitcoin GARCH volatility dynamics298 cited
  • 2005On a threshold heteroscedastic model293 cited
  • 2015Gold price volatility: A forecasting approach using the Artificial Neural Network–GARCH model219 cited
  • 2014Energy markets volatility modelling using GARCH217 cited
  • 2016Forecasting volatility of oil price using an artificial neural network-GARCH model206 cited
  • 2019Deep Learning in Asset Pricing172 cited
  • 2005Empirical analysis of GARCH models in value at risk estimation163 cited
  • 2019Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models121 cited
  • 2016Deep Learning in Finance87 cited
  • 2008Volatility forecasting with double Markov switching GARCH models51 cited
  • 2010Estimation of multiple period expected shortfall and median shortfall for risk management40 cited
  • 2008Option pricing in a Garch model with tempered stable innovations

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