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Machine learning for predicting stock return volatility

Filipović, Damir; Khalilzadeh, Amir - 2021

We use machine learning methods to predict stock return volatility. Our out-of-sample prediction of realised volatility for a large cross-section of US stocks over the sample period from 1992 to 2016 is on average 44.1% against the actual realised volatility of 43.8% with an R2 being as high as...

Persistent link: https://www.econbiz.de/10012800743

A quantile regression neural network approach to estimating the conditional density of multiperiod returns

Taylor, James W. - In: Journal of forecasting 19 (2000) 4, pp. 299-311

Persistent link: https://www.econbiz.de/10001504631

Economic factors and the stock market : a new perspective

Qi, Min; Maddala, Gangadharrao S. - In: Journal of forecasting 18 (1999) 3, pp. 151-166

Persistent link: https://www.econbiz.de/10001433673

Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns

Chen, Shiyi - 2017

In recent years, support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for …

Persistent link: https://www.econbiz.de/10012966267

Can Deep Neural Networks Outperform Fama-MacBeth Regression and Other Supervised Learning Approaches in Stock Returns Prediction With Asset-Pricing Factors?

Teng, Huei-Wen; Li, Yu-Hsien - 2022

traditional Fama-MacBeth regression, and other supervised learning algorithms such as regression and tree-based algorithms. Our …

Persistent link: https://www.econbiz.de/10014235825

Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns

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

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 … opposed to the usual feedforward SVR. -- Recurrent support vector regression ; MLE ; recurrent MLP ; nonlinear ARMA …

Persistent link: https://www.econbiz.de/10003770766