An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition-Reference-Cited by-同舟云学术

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An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition

Published:2024-06 Issue: Volume: Page:
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

de Vilmarest Joseph^ORCID,Werge Nicklas^ORCID

Funder

Novo Nordisk Foundation

Publisher

Elsevier BV

Reference30 articles.

1. GARCH processes: structure and estimation;Berkes;Bernoulli,2003

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

3. Optimization methods for large-scale machine learning;Bottou;SIAM Review,2018

4. Time series analysis: forecasting and control;Box,2015

5. Introduction to time series and forecasting;Brockwell,2002

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