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Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network

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Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network

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García García, F.; Guijarro Martínez, F.; Moya Clemente, I.; Oliver Muncharaz, J. (2012). Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network. International Journal of Complex Systems in Science. 2(1):21-26. http://hdl.handle.net/10251/60000

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Title: Estimating returns and condicional volatility: a comparison between the ARMA-GARCH-M Models and the Backpropagation Neural Network
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Abstract:
Econometric models have usually estimated both returns and conditional volatility in financial assets. This paper is intended in the comparison of this traditional approach with the more recent Backpropagation neural ...[+]
Subjects: Conditional volatility , Backpropagation neural network , GARCH-M
Copyrigths: Reconocimiento (by)
Source:
International Journal of Complex Systems in Science. (issn: 2174-6036 )
Publisher:
Interlude
Publisher version: http://www.ij-css.org/vol_02-01.html
Description: Creative Commons: Reconocimiento 3.0 España (CC BY 3.0 ES)
Type: Artículo

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