Forecasting time-dependent conditional densities: A semi-non-parametric neural network approach

Journal of Forecasting

Volumn 19, Issue 4, 2000, Pages 355-374

  Schittenkopf, Christian ^a,c   Dorffner, Georg ^a,b   Dockner, Engelbert J ^b,d,e  

^a AUSTRIAN RESEARCH INSTITUTE FOR ARTIFICIAL INTELLIGENCE   (Austria)

^b UNIVERSITY OF VIENNA   (Austria)

^c TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^d UNIVERSITY OF SASKATCHEWAN   (Canada)

^e BIELEFELD UNIVERSITY   (Germany)

Author keywords

Conditional densities; Forecasting; GARCH; Neural networks; Volatility

Indexed keywords

EID: 0001344388     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200007)19:4<355::AID-FOR778>3.0.CO;2-Z     Document Type: Article

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