Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model

DOI10.1080/14697688.2021.1939116zbMath1484.91456OpenAlexW3182454447MaRDI QIDQ5068083

Chenjie Shao, Khaldoun Khashanah

Publication date: 5 April 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1939116

zbMATH Keywords

kernel selectionFourier kernelMSM-PSO-SVRshort-term volatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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