Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/content/pdf/10.1007/s10287-016-0267-0.pdf
Reference63 articles.
1. Alexander C, Lazar E (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. J Appl Econom 21(3):307–336
2. Arlot S, Celisse A (2010) A survey of cross-validation procedures for model selection. Stat Surv 4:40–79
3. Bae GI, Kim WC, Mulvey JM (2014) Dynamic asset allocation for varied financial markets under regime switching framework. Eur J Oper Res 234(2):450–458
4. Bai X, Russell JR, Tiao GC (2003) Kurtosis of GARCH and stochastic volatility models with non-normal innovations. J Econom 114(2):349–360
5. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 31:307–327
Cited by 54 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Support vector regression-based heteroscedastic models for cryptocurrency risk forecasting;Applied Soft Computing;2024-09
2. Hybrid forecasting of crude oil volatility index: The cross‐market effects of stock market jumps;Journal of Forecasting;2024-04-11
3. Robust control chart for nonlinear conditionally heteroscedastic time series based on Huber support vector regression;PLOS ONE;2024-02-23
4. Robust monitoring conditional volatility change for time series based on support vector regression;Communications in Statistics - Simulation and Computation;2024-02-12
5. Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition;Annals of Operations Research;2024-01-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3