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Support Vector Regression Based GARCH Model withApplication to Forecasting Volatility of Financial Returns
16 references·1 citing·24 second hop
Support Vector Regression Based GARCH Model withApplication to Forecasting Volatility of Financial Returns (2008)Support Vector Regression Based GARCH Mod…Financial Forecasting Using Support Vector Machines (2001)Financial Forecasting Using S…A quantile regression neural network approach to estimating the conditional density of multiperiod returns (2000)A quantile regression neural …Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)Forecasting financial market …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Forecasting Volatility (1997)Forecasting VolatilityAsymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…The predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities (1995)Market Structure and the Intr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyStock market volatility and the information content of stock index options (1992)Stock market volatility and t…ARCH modeling in finance (1992)ARCH modeling in financeAlternative models for conditional stock volatility (1990)Alternative models for condit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Recurrent Support and Relevance Vector Machines Based Model with Application to Forecasting Volatility of Financial Returns (2011)Recurrent Support and Relevan…The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)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)Forecasting Volatility in Financial Markets: A Review (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Variance Risk Premiums (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Comparing Predictive Accuracy (1995)Macroeconomic Forecasting Using Diffusion Indexes (2002)Econometric Analysis of Cross Section and Panel Data (2001)Measuring and Testing the Impact of News on Volatility (1993)The Cross‐Section of Volatility and Expected Returns (2006)
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References

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  • 1994Comparing Predictive Accuracy5,578 cited
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  • 1995Market Structure and the Intraday Pattern of Bid-Ask Spreads for NASDAQ Securities

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325 cited
  • 1997Forecasting Volatility288 cited
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    • 2011Recurrent Support and Relevance Vector Machines Based Model with Application to Forecasting Volatility of Financial Returns17 cited