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A Hybrid Model Integrating Artificial Neural Network with Multiple GARCH-Type Models and EWMA for Performing the Optimal Volatility Forecasting of Market Risk Factors
16 references·0 citing·31 second hop
A Hybrid Model Integrating Artificial Neural Network with Multiple GARCH-Type Models and EWMA for Performing the Optimal Volatility Forecasting of Market Risk Factors (2022)A Hybrid Model Integrating Artificial Neu…Gold volatility prediction using a CNN-LSTM approach (2020)Gold volatility prediction us…The Impact of Machine Learning on Economics (2019)The Impact of Machine Learnin…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…Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? (2012)Forecasting energy market vol…An artificial neural network-GARCH model for international stock return volatility (1997)An artificial neural network-…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Alternative models for conditional stock volatility (1990)Alternative models for condit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modelling the persistence of conditional variances (1986)THE GARCH OPTION PRICING MODEL (1995)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)A Long Memory Property of Stock Market Returns and a New Model (2010)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Are Financial Assets Priced Locally or Globally? (2002)Idiosyncratic Volatility and the Cross Section of Expected Returns (2008)
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References

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  • 2020Gold volatility prediction using a CNN-LSTM approach274 cited
  • 1997An artificial neural network-GARCH model for international stock return volatility227 cited
  • 2012Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?

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226 cited
  • 2018A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis226 cited
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