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Forecasting stock volatility and value-at-risk based on temporal convolutional networks
16 references·2 citing·28 second hop
Forecasting stock volatility and value-at-risk based on temporal convolutional networks (2022)Forecasting stock volatility and value-at…Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Generación de series de tiemp…Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models (2018)Forecasting the volatility of…A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis (2018)A hybrid volatility forecasti…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAn artificial neural network-GARCH model for international stock return volatility (1997)An artificial neural network-…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…On 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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Novel optimization approach for realized volatility forecast of stock price index based on deep reinforcement learning model (2023)Novel optimization approach f…Introducing NBEATSx to realized volatility forecasting (2023)Introducing NBEATSx to realiz…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)A Stochastic Approximation Method (1951)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning for financial applications : A survey (2020)Applications of deep learning in stock market prediction: Recent progress (2021)Financial time series forecasting with multi-modality graph neural network (2021)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 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
  • 1992ARCH modeling in finance4,288 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2021Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN)1,463 cited
  • 2018Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models786 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited

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1997
An artificial neural network-GARCH model for international stock return volatility
227 cited
  • 2018A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis226 cited
  • Cited by

    • 2023Novel optimization approach for realized volatility forecast of stock price index based on deep reinforcement learning model48 cited
    • 2023Introducing NBEATSx to realized volatility forecasting35 cited