Semi-parametric forecasts of the implied volatility surface using regression trees.
Francesco AudrinoDominik ColangeloPublished in: Stat. Comput. (2010)
Keyphrases
- regression trees
- semi parametric
- regression problems
- regression model
- linear model
- linear regression
- cross validation
- genetic programming
- random forests
- least squares
- model selection
- density estimation
- decision trees
- feature selection
- multi task
- conditional random fields
- historical data
- learning machines
- support vector machine
- high dimensional data
- closed form
- statistical inference