Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination
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- repec:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655 is not listed on IDEAS
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- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Jammazi, Rania & Aloui, Chaker, 2012. "Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling," Energy Economics, Elsevier, vol. 34(3), pages 828-841.
- Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
- Christian Dunis & Jason Laws & Georgios Sermpinis, 2010. "Higher order and recurrent neural architectures for trading the EUR/USD exchange rate," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 615-629.
- Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
- Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
- G'abor Petneh'azi & J'ozsef G'all, 2018. "Exploring the predictability of range-based volatility estimators using RNNs," Papers 1803.07152, arXiv.org.
- Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
- Daniela Spiesová, 2014. "The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(5), pages 28-38, October.
- Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
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