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Multi-step Prediction of Financial Asset Return Volatility Using Parsimonious Autoregressive Sequential Model.
Xiangru Fan
Xiaoqian Wei
Di Wang
Wen Zhang
Wu Qi
Published in:
MIDAS@PKDD (2019)
Keyphrases
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autoregressive
multi step
moving average
non stationary
financial time series
random fields
parameter estimation
similarity measure
artificial neural networks
probabilistic model
stock price
financial data