Modelling volatility with mixture density networks

Modelling volatility with mixture density networks

Volatility is an important variable in financial forecasting. Forecasting volatility requires a development of a suitable model for it. In this paper, we examine different time series models for volatility modelling. Specifically, we will study the use of recurrent mixture density networks, GARCH an...

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Bibliographic Details
Main Authors: Mostafa, Fahed, Dillon, Tharam S.
Other Authors: Hu, X.T. and Liu, Q.
Format: Conference Paper
Published: Institute of Electrical and Electronics Engineers (IEEE) 2008
Online Access:http://hdl.handle.net/20.500.11937/40416

Internet

http://hdl.handle.net/20.500.11937/40416

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