This paper introduces a general class of combined neural network-GARCH models suitable to financial time series analysis. We put special emphasis on designing a full model-building cycle for this class of models that includes all stages of econometric modelling (specification, estimation and...

Crucial for asset allocation and portfolio management is the estimation of volatility and covariance structure of asset returns. Even the simplest Markowitz portfolio construction requires estimates of the mean returns, variance and covariances. Various studies show that the calculation of...

This paper proposes a hybrid computational intelligent system for the detection of statistical arbitrage opportunities in pairs of assets. The proposed methodology combines nonlinear neural network autoregressive models with GARCH parametrizations of volatility for describing the dynamics of the...