Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns

DOI10.1080/02664760903521435OpenAlexW1968380673MaRDI QIDQ5124781

Altaf Hossain, Mohammed Nasser

Publication date: 30 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903521435

zbMATH Keywords

artificial neural networkautoregressive moving averageback propagationgeneralized autoregressive conditional heteroskedasticsupport-vector machine

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites Work

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• Financial forecasting using support vector machines
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators

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