DocumentCode
2096632
Title
A Grey-Artificial Neural Network Stochastic Volatility Model for Return Volatility
Author
Hsu, Ai-Chi ; Hsiao, Hsiao-Fen ; Yang, Shih-Jui
Author_Institution
Dept. of Finance, Nat. Yunlin Univ. of Sci. & Technol. in Taiwan, Douliou, Taiwan
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
Abstract
In this study, we develop a new concept of volatility models. The objective is to apply grey residual and artificial neural network into stochastic volatility to estimate return volatility.
Keywords
Markov processes; Monte Carlo methods; financial management; grey systems; neural nets; stochastic processes; time series; Markov chain Monte Carlo method; artificial neural network; financial time series; grey residual; stochastic return volatility estimation model; theoretical finance; Artificial neural networks; Bayesian methods; Business communication; Equations; Finance; Hidden Markov models; Monte Carlo methods; Neural networks; Predictive models; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Electronic_ISBN
978-1-4244-4639-1
Type
conf
DOI
10.1109/ICMSS.2009.5301917
Filename
5301917
Link To Document