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Multi-step Prediction of Financial Asset Return Volatility Using Parsimonious Autoregressive Sequential Model.

Xiangru FanXiaoqian WeiDi WangWen ZhangWu Qi
Published in: MIDAS@PKDD (2019)
Keyphrases
  • 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