Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market
Anders Nõu, Darya Lapitskaya, M. Hakan Eratalay and Rajesh Sharma
| 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 | Künstliche Intelligenz | Artificial intelligence | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Neuronale Netze | Neural networks | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Volatilität | Volatility | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Baltische Staaten | Baltic countries | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJCEE.2023.133923 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014439728