Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels.
Pedro Correia S. BezerraPedro Henrique Melo AlbuquerquePublished in: Comput. Manag. Sci. (2017)
Keyphrases
- gaussian kernels
- garch model
- kernel function
- exchange rate
- support vector regression
- heavy tailed
- stock market
- kernel learning
- gaussian kernel
- support vector
- mixture model
- reproducing kernel hilbert space
- stock price
- multivariate time series
- optimal parameters
- support vector machine
- learning rate
- feature space
- kernel methods
- input space
- high dimensional feature space
- gaussian mixture model
- regression model
- high dimensional
- expectation maximization
- binary classification
- kernel matrix
- support vector machine svm
- convergence rate
- kernel pca
- least squares