Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

DOI10.1080/14697688.2016.1211800zbMath1400.91611OpenAlexW2519807315MaRDI QIDQ4554257

Georgios Sermpinis, Ioannis Psaradellis, Thanos Verousis, Charalampos Stasinakis

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/24195/1/122457.pdf

zbMATH Keywords

leveragesupport vector regressioncommoditieskrill herd

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (2)

Neural network copula portfolio optimization for exchange traded funds ⋮ Forecasting government bond spreads with heuristic models: evidence from the eurozone periphery

Uses Software

• Krill herd

Cites Work

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• Commodity markets through the business cycle
• Tests of Conditional Predictive Ability
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