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Volatility forecasting using threshold heteroskedastic models of the intra-day range.
Cathy W. S. Chen
Richard Gerlach
Edward M. H. Lin
Published in:
Comput. Stat. Data Anal. (2008)
Keyphrases
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neural network
wide range
garch model
prediction model
probabilistic model
non stationary
forecasting model
historical data
random fields
stock market
statistical models
short term
statistical model
model selection
long term
prior knowledge
learning algorithm
genetic algorithm
machine learning