Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index.

Vo, Nguyen; Slepaczuk, Robert

Vo, Nguyen; Slepaczuk, Robert.

Afiliación

Vo N; Quantitative Finance Research Group, Faculty of Economic Sciences, University of Warsaw, Ul. Dluga 44/50, 00-241 Warsaw, Poland.
Slepaczuk R; Quantitative Finance Research Group, Department of Quantitative Finance, Faculty of Economic Sciences, University of Warsaw, Ul. Dluga 44/50, 00-241 Warsaw, Poland.

Entropy (Basel) ; 24(2)2022 Jan 20.

Article en En | MEDLINE | ID: mdl-35205454

Palabras clave

ARIMA; ARIMA-EGARCH; ARIMA-SGARCH; algorithmic investment strategies; hybrid model; model robustness; sensitivity analysis; stock returns forecast

Texto completo

Añadir a Mi BVS

Imprimir

XML

PubMed Links

Buscar en Google

Texto completo: 1 Bases de datos: MEDLINE Tipo de estudio: Prognostic_studies Idioma: En Revista: Entropy (Basel) Año: 2022 Tipo del documento: Article País de afiliación: Polonia

Texto completo

Añadir a Mi BVS

Imprimir

XML

PubMed Links

Buscar en Google