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A hybrid volatility forecasting framework integrating GARCH, artificial neural network, technical analysis and principal components analysis.

Werner KristjanpollerMarcel C. Minutolo
Published in: Expert Syst. Appl. (2018)
Keyphrases
  • principal components analysis
  • artificial neural networks
  • exchange rate
  • garch model
  • data sets
  • short term
  • neural network
  • computational complexity
  • back propagation
  • stock market