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dc.contributor.authorChen, Shiyien_US
dc.contributor.authorJeong, Kihoen_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.date.accessioned2008-11-07en_US
dc.date.accessioned2009-07-23T15:04:03Z-
dc.date.available2009-07-23T15:04:03Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/25293-
dc.description.abstractRecurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure to forecast nonlinear ARMA model based simulated data and real data of financial returns. The forecasting ability of the recurrent SVR is compared with three competing methods, MLE, recurrent MLP and feedforward SVR. Theoretically, MLE and MLP only focus on fit in-sample, but SVR considers both fit and forecast out-of-sample which endows SVR with an excellent forecasting ability. This is confirmed by the evidence from the simulated and real data based on two forecasting accuracy evaluation metrics (NSME and sign). That is, for one-step-ahead forecasting, the recurrent SVR is consistently better than the MLE and the recurrent MLP in forecasting both the magnitude and turning points, and really improves the forecasting performance as opposed to the usual feedforward SVR.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2008,051en_US
dc.subject.jelC45en_US
dc.subject.jelF37en_US
dc.subject.jelF47en_US
dc.subject.ddc330en_US
dc.subject.keywordRecurrent support vector regressionen_US
dc.subject.keywordMLEen_US
dc.subject.keywordrecurrent MLPen_US
dc.subject.keywordnonlinear ARMAen_US
dc.subject.keywordfinancial forecastingen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwSupport Vector Machineen_US
dc.subject.stwARMA-Modellen_US
dc.subject.stwNichtlineares Verfahrenen_US
dc.subject.stwRegressionen_US
dc.subject.stwNeuronale Netzeen_US
dc.subject.stwTheorieen_US
dc.titleRecurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returnsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn584571534en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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