Volatility Forecasting Using a Hybrid GJR-GARCH Neural Network Model
暂无分享,去创建一个
[1] A. Christie,et al. The stochastic behavior of common stock variances: value , 1982 .
[2] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[3] K. French,et al. Expected stock returns and volatility , 1987 .
[4] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[5] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[6] J. Zakoian. Threshold heteroskedastic models , 1994 .
[7] Ludger Hentschel. All in the family Nesting symmetric and asymmetric GARCH models , 1995 .
[8] R. Donaldson,et al. An artificial neural network-GARCH model for international stock return volatility , 1997 .
[9] T. Bollerslev,et al. ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS* , 1998 .
[10] Valentina Corradi,et al. Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries , 2005 .
[11] Haim Shalit,et al. Estimating stock market volatility using asymmetric GARCH models , 2008 .
[12] Melike Bildirici,et al. Improving forecasts of GARCH family models with the artificial neural networks: An application to the daily returns in Istanbul Stock Exchange , 2009, Expert Syst. Appl..
[13] Yi-Hsien Wang,et al. Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach , 2009, Expert Syst. Appl..
[14] C. Brownlees,et al. A Practical Guide to Volatility Forecasting through Calm and Storm , 2011 .
[15] Anupam Shukla,et al. Financial Time Series Volatility Forecast Using Evolutionary Hybrid Artificial Neural Network , 2011 .
[16] C. J. Franco,et al. USING A DYNAMIC ARTIFICIAL NEURAL NETWORK FOR FORECASTING THE VOLATILITY OF A FINANCIAL TIME SERIES , 2013 .
[17] Werner Kristjanpoller,et al. Volatility forecast using hybrid Neural Network models , 2014, Expert Syst. Appl..