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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Conference Paper |
| Published: |
Institute of Electrical and Electronics Engineers (IEEE)
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/40416 |