Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem

DOI10.1016/j.ejor.2007.02.046zbMath1134.91032OpenAlexW1971866308MaRDI QIDQ2426549

Ling-Ming Kung, Shang-Wu Yu

Publication date: 22 April 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.02.046

zbMATH Keywords

grey predictionspillover effectsTGARCHGM\((1, N)\)local grey relational analysis

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (7)

A research on a comprehensive adaptive grey prediction model CAGM(1, N) ⋮ A hybrid stock trading system using genetic network programming and mean conditional value-at-risk ⋮ A research on the grey prediction model GM(1,n) ⋮ On unified framework for continuous-time grey models: an integral matching perspective ⋮ News-based forecasts of macroeconomic indicators: a semantic path model for interpretable predictions ⋮ Rough support vector regression ⋮ An extended grey forecasting model for omnidirectional forecasting considering data gap difference

Cites Work

• Model combination in neural-based forecasting
• A multivariate skew-garch model
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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