Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khaldoun Khashanah and Chenjie Shao
| Year of publication: |
2022
|
|---|---|
| Authors: | Khashanah, Khaldoun ; Shao, Chenjie |
| Subject: | Fourier kernel | Kernel selection | MSM-PSO-SVR | Short-term volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Core |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1939116 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167735