Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns
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- Shiyi Chen & Kiho Jeong & Wolfgang K. HÃ¤rdle, 2008. "Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns," SFB 649 Discussion Papers SFB649DP2008-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
References listed on IDEAS
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More about this item
KeywordsRecurrent support vector regression; Non-linear ARMA ; Financial forecasting; C45; C53; F37; F47; G17;
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
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