Volatility model based on multi-stock index for TAIEX forecasting.
Ching-Hsue ChengLiang-Ying WeiPublished in: Expert Syst. Appl. (2009)
Keyphrases
- stock index
- garch model
- stock market
- financial markets
- stock index futures
- portfolio management
- empirical analysis
- stock price
- stock exchange
- trading systems
- portfolio optimization
- portfolio selection
- short term
- sar images
- theoretical analysis
- multiresolution
- historical data
- financial time series
- heavy tailed
- data mining
- empirical studies
- transaction costs
- risk management
- non stationary