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~subject:"Time series analysis"
~subject:"Volatilität"
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Search: subject:"regularization"
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Learning process
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Regularization
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regularization
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75
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Handbook of economic forecasting ; Volume 2B
2
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1
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The journal of futures markets
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ECONIS (ZBW)
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1
Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities
Guterding, Daniel
- In:
Risks : open access journal
11
(
2023
)
5
,
pp. 1-24
input prices or arbitrage, we apply an 𝐿1 -
regularization
to the SVD-transformed density. Our approach, which is inspired …
Persistent link: https://www.econbiz.de/10014332042
Saved in:
2
A sparse Kalman Filter: a non-recursive approach
Andrle, Michal
;
Brůha, Jan
-
2023
Persistent link: https://www.econbiz.de/10014447394
Saved in:
3
A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph
;
Stöcker, Almond
;
Rügamer, David
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 181-200
Persistent link: https://www.econbiz.de/10012796284
Saved in:
4
Fast global convergence of natural policy gradient methods with entropy
regularization
Cen, Shicong
;
Cheng, Chen
;
Chen, Yuxin
;
Wei, Yuting
; …
- In:
Operations research
70
(
2022
)
4
,
pp. 2563-2578
Persistent link: https://www.econbiz.de/10013366515
Saved in:
5
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
6
Robust optimization of time series momentum portfolios
Fague, Jeremy
;
Almeida, Caio
- In:
Revista Brasileira de Finanças : RBFin
19
(
2021
)
1
,
pp. 52-69
Persistent link: https://www.econbiz.de/10012616154
Saved in:
7
Machine learning advances for time series forecasting
Masini, Ricardo P.
;
Medeiros, Marcelo C.
;
Mendes, Eduardo F.
- In:
Journal of economic surveys
37
(
2023
)
1
,
pp. 76-111
Persistent link: https://www.econbiz.de/10014287800
Saved in:
8
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
9
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
10
Nonparametric estimation of triangular simultaneous equations models under weak identification
Han, Sukjin
- In:
Quantitative economics : QE ; journal of the …
11
(
2020
)
1
,
pp. 161-202
motivates the introduction of a
regularization
scheme. The paper proposes a penalized series estimation method to alleviate the …
Persistent link: https://www.econbiz.de/10012202234
Saved in:
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