Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns … Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure …

: recurrent support vector regression; GARCH model; volatility forecasting JEL classification: C45, C53, G32 # This work was …

Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure … SFB 649 Discussion Paper 2008-051 Recurrent Support Vector Regression for a Nonlinear ARMA … the forecasting performance as opposed to the usual feedforward SVR. Keywords: Recurrent Support Vector Regression; MLE …