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Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility

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  • Jos'e Igor Morlanes

Abstract

We extend the empirical results published in article "Empirical Evidence on Arbitrage by Changing the Stock Exchange" by means of machine learning and advanced econometric methodologies based on Smooth Transition Regression models and Artificial Neural Networks.

Suggested Citation

  • Jos'e Igor Morlanes, 2018. "Non-linear Time Series and Artificial Neural Networks of Red Hat Volatility," Papers 1806.01070, arXiv.org.
    • Handle: RePEc:arx:papers:1806.01070
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    References listed on IDEAS

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    1. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, January.
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