Modelling Asymmetric Behaviour in Time Series: Identification Through PSO

DOI10.1007/978-3-319-02499-8_24zbMath1407.62324OpenAlexW2909900063MaRDI QIDQ4561920

Claudio E. A. Pizzi, Francesca Parpinel

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_24

zbMATH Keywords

financial time seriesparticle swarm optimizationparticle swarm optimization algorithmasymmetric behaviourbear market

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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