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Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113

From fixed-event to fixed-horizon density forecasts : obtaining measures of multi-horizon uncertainty from survey density forecasts

Rossi, Barbara; Ganics, Gergely; Sekhposyan, Tatevik - 2020

Persistent link: https://www.econbiz.de/10012196192

Forecast rationality tests in the presence of instabilities, with applications to federal reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - 2016

Persistent link: https://www.econbiz.de/10011524322

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of applied econometrics 31 (2016) 3, pp. 507-532

Persistent link: https://www.econbiz.de/10011642621

The impact of news on US household inflation expectations

Chao, Shih-Kang; Härdle, Wolfgang; Sheen, Jeffrey R.; … - 2017

Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when controlling for household personal characteristics, their perceptions of the...

Persistent link: https://www.econbiz.de/10011657291