Nonlinear Combination of Financial Forecast with Genetic Algorithm
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References listed on IDEAS
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
- Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christian Dunis & Jason Laws & Georgios Sermpinis, 2010. "Modelling commodity value at risk with higher order neural networks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(7), pages 585-600.
- Cifter, Atilla, 2011. "Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2356-2367.
More about this item
KeywordsForecast combination; Artificial neural networks; GARCH models; Extreme value theory; Christoffersen test;
- G0 - Financial Economics - - General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-CMP-2007-04-09 (Computational Economics)
- NEP-ECM-2007-04-09 (Econometrics)
- NEP-ETS-2007-04-09 (Econometric Time Series)
- NEP-FOR-2007-04-09 (Forecasting)
- NEP-RMG-2007-04-09 (Risk Management)
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