A support vector machine based MSM model for financial short-term volatility forecasting

Neural Computing and Applications

Volumn 22, Issue 1, 2013, Pages 21-28

  Wang, Baohua ^a,b   Huang, Hejiao ^a   Wang, Xiaolong ^a  

^a HARBIN INSTITUTE OF TECHNOLOGY   (China)

^b SHENZHEN UNIVERSITY   (China)

Author keywords

Financial volatility forecasting; Markov switching multifractal; Support vector machine

Indexed keywords

FINANCE; FINANCIAL DATA PROCESSING; FORECASTING; FRACTALS; TIME SERIES;

FINANCIAL TIME SERIES; FINANCIAL TIME SERIES FORECASTING; MULTI FRACTALS; MULTIFRACTAL PROCESS; SHORT TERM PREDICTION; VOLATILITY CLUSTERING; VOLATILITY FORECASTING; VOLATILITY PERSISTENCE;

SUPPORT VECTOR MACHINES;

EID: 84871965351     PISSN: 09410643     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00521-011-0742-z     Document Type: Article

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