Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market
Year of publication: |
2023
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Authors: | Nõu, Anders ; Lapitskaya, Darya ; Eratalay, M. Hakan ; Sharma, Rajesh |
Published in: |
International journal of computational economics and econometrics : IJCEE. - Genève [u.a.] : Inderscience Enterprises, ISSN 1757-1189, ZDB-ID 2545120-0. - Vol. 13.2023, 4, p. 446-489
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Subject: | machine learning | neural networks | autoregressive moving average | ARMA | generalised autoregressive conditionally heteroscedastic | GARCH | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Künstliche Intelligenz | Artificial intelligence | Kapitaleinkommen | Capital income | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Baltische Staaten | Baltic countries | ARMA-Modell | ARMA model | Börsenkurs | Share price |
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