Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns.
Shiyi ChenKiho JeongWolfgang K. HärdlePublished in: Comput. Stat. (2015)
Keyphrases
- support vector regression
- arma model
- moving average
- autoregressive
- regression model
- turning points
- support vector classification
- support vector
- linear regression model
- forecasting accuracy
- kernel function
- hybrid model
- recurrent neural networks
- support vector machine
- feed forward
- support vector machine svm
- forecasting model
- stock market
- autoregressive moving average
- financial time series forecasting
- load forecasting
- financial data
- regression analysis
- model selection
- artificial neural network models
- multiscale