Modelling volatility with mixture density networks

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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:	X.T. Hu
Format:	Conference Paper
Published:	Institute of Electrical and Electronics Engineers (IEEE) 2008
Online Access:	http://hdl.handle.net/20.500.11937/40416

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