An Overview of Gaussian process Regression for Volatility Forecasting.

Bingqing Liu Ivan Kiskin Stephen Roberts

Published in: ICAIIC (2020)

Keyphrases

gaussian process regression
exchange rate
garch model
financial time series
gaussian processes
stock market
gaussian process
grey model
stock price
short term
covariance function
multivariate time series
support vector regression
financial markets
closed form
learning experience
turning points
long term