Volatility Prediction with Mixture Density Networks-Reference-Cited by-同舟云学术

Volatility Prediction with Mixture Density Networks

Published:1998 Issue: Volume: Page:929-934
ISSN:1431-6854
Container-title:ICANN 98
language:
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Author:

Schittenkopf Christian,Dorffner Georg,Dockner Engelbert J.

Publisher

Springer London

Link

http://link.springer.com/content/pdf/10.1007/978-1-4471-1599-1_145

Reference7 articles.

1. Bishop CM. Mixture density networks, Neural Computing Research Group Report: NCRG/94/004, Aston University, Birmingham, 1994

2. Engle RF. Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 1982; 50:987–1008

3. Bollerslev T. A generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 1986; 31:307–327

4. Glosten LR, Jagannathan R., Runkle DE. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 1993; 48:1779–1801

5. Neuneier R, Finnoff W, Hergert F, Ormoneit D. Estimation of conditional densities: a comparison of neural network approaches. In: Marinaro M, Morasso PG (ed) ICANN 94 — Proceedings of the International Conference on Artificial Neural Networks. Springer-Verlag, Berlin, 1994, pp 689–692

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