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Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination.. (2002). Dunis, Christian L ; Huang, Xuehuan.
In: Journal of Forecasting.
RePEc:jof:jforec:v:21:y:2002:i:5:p:317-54.

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  1. A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting. (2024). Bai, Wei ; Liu, Haifei ; Zhang, Junting.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001456.

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  2. How does exchange rate elasticity of aggregate consumption adjust currency risk price in the stock market?. (2023). Li, Huashi ; Chen, Qi-An.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:590-610.

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  3. The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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  4. Using Artificial Neural Networks to forecast Exchange Rate, including VAR‐VECM residual analysis and prediction linear combination. (2019). Parot, Alejandro ; Kristjanpoller, Werner D ; Michell, Kevin.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:26:y:2019:i:1:p:3-15.

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  5. Neural network and regression methods for optimizations between two meteorological factors. (2019). Baek, Woon Hak ; Shin, Ki-Hong ; Yum, Seong Soo ; Lee, Dong-In ; Chang, Ki-Ho ; You, Cheol-Hwan ; Kim, Kyungsik.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:523:y:2019:i:c:p:778-796.

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  6. Evolutionary support vector machine for RMB exchange rate forecasting. (2019). Li, Hongtao ; Sun, Shaolong ; Fu, Sibao.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:521:y:2019:i:c:p:692-704.

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  7. The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Port, Henry ; Fuest, Andreas ; Fink, Holger.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

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  8. Exploring the predictability of range-based volatility estimators using RNNs. (2018). , J'Ozsef ; Petneh, G'Abor.
    In: Papers.
    RePEc:arx:papers:1803.07152.

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  9. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. (2015). Wohar, Mark ; Kellard, Neil ; Jiang, Ying.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:56:y:2015:i:c:p:36-54.

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  10. Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects. (2014). Stasinakis, Charalampos ; Sermpinis, Georgios ; Dunis, Christian .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:30:y:2014:i:c:p:21-54.

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  11. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models. (2014). Spiesova, Daniela .
    In: Acta Universitatis Danubius. OEconomica.
    RePEc:dug:actaec:y:2014:i:5:p:28-38.

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  12. Forecasting EUR–USD implied volatility: The case of intraday data. (2013). Snaith, Stuart ; Kellard, Neil ; Dunis, Christian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:4943-4957.

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  13. Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling. (2012). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:3:p:828-841.

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  14. Higher order and recurrent neural architectures for trading the EUR/USD exchange rate. (2010). Dunis, Christian ; Laws, Jason ; Sermpinis, Georgios.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2010:i:4:p:615-629.

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  15. Forecasting volatility with support vector machine-based GARCH model. (2010). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K. ; Chen, Shiyi.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433.

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  16. Foreign exchange, fractional cointegration and the implied-realized volatility relation. (2010). Kellard, Neil ; Dunis, Christian ; Sarantis, Nicholas .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:882-891.

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  17. Making trading decisions for financial‐engineered derivatives: a novel ensemble of neural networks using information content. (2009). Mancha, Ruben ; Chen, Ansing ; Leung, Mark T.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:16:y:2009:i:4:p:257-277.

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  18. Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models. (2009). SAIDANE, Mohamed.
    In: Computational Economics.
    RePEc:kap:compec:v:34:y:2009:i:4:p:323-364.

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  19. Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns. (2008). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang ; Chen, Shiyi.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-014.

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  20. Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices. (2008). Tseng, Chih-Hsiung ; Wang, Yi-Hsien ; Cheng, Sheng-Tzong ; Peng, Jin-Tang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:13:p:3192-3200.

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  21. Can exchange rate volatility explain persistence in the forward premium?. (2008). Kellard, Neil ; Sarantis, Nicholas .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:714-728.

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  22. Forecasting exchange rates: A robust regression approach. (2007). Franck, Raphael ; Preminger, Arie.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:23:y:2007:i:1:p:71-84.

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  23. Extended switching regression models with time-varying probabilities for combining forecasts. (2006). Wettstein, David ; Preminger, Arie ; Ben-Zion, Uri .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:6-7:p:455-472.

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  24. Forecasting volatility. (2006). Gospodinov, Nikolay ; Gavala, Athanasia ; Jiang, Deming .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:25:y:2006:i:6:p:381-400.

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  25. Forecasting exchange rates: a robust regression approach. (2005). Franck, Raphael ; Preminger, Arie.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2005025.

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