Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels

DOI10.1007/S10287-016-0267-0zbMath1416.91411OpenAlexW2556590421MaRDI QIDQ1789603

Pedro Henrique M. Albuquerque, Pedro Correia S. Bezerra

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-016-0267-0

zbMATH Keywords

Gaussian mixturesstatistical learning theoryvolatility forecastingsupport vector regressionmarket regimesmixture of kernels

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Actuarial science and mathematical finance (91G99)

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