Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns
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- Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2015. "Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns," Computational Statistics, Springer, vol. 30(3), pages 821-843, September.
References listed on IDEAS
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More about this item
KeywordsRecurrent Support Vector Regression; MLE; recurrent MLP; nonlinear ARMA; financial forecasting;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-07-30 (All new papers)
- NEP-ECM-2008-07-30 (Econometrics)
- NEP-ETS-2008-07-30 (Econometric Time Series)
- NEP-FOR-2008-07-30 (Forecasting)
- NEP-OPM-2008-07-30 (Open Economy Macroeconomics)
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