Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns

DOI10.1007/s00180-014-0543-9zbMath1342.65027OpenAlexW2059335753MaRDI QIDQ740075

Shiyi Chen, Kiho Jeong, Wolfgang Karl Härdle

Publication date: 12 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-051.pdf

zbMATH Keywords

financial forecastingnonlinear ARMArecurrent support vector regression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05)

Related Items (2)

Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression ⋮ Editorial to the special issue on applicable semiparametrics of computational statistics

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