Prediction of High-Frequency data: Application to Exhange Rates Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19240%2F09%3A%230002963" target="_blank" >RIV/47813059:19240/09:#0002963 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Prediction of High-Frequency data: Application to Exhange Rates Time Series
Original language description
The paper considers the use of ANN methodology for parameters estimation of the autoregressive conditional heteroscedastic (ARCH) processes. The paper provides heuristic approach of ARCH processes modelling. This approach is often employed to estimate the values of financial variables as rates of return, exchange rates, means and variances of inflation, stock market returns and price indexes and also to predict their variances.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F0022" target="_blank" >GA402/08/0022: The Latest Intelligent Methodologies for Economic Time Series Modelling and Forecasting</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Financial Management of Firms and Financial Institutions
ISBN
978-80-248-2059-0
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
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Publisher name
VŠB-Technická univerzita, Ukonomická fakulta
Place of publication
VŠB-TU Ostrava, Ekonomická fakulta
Event location
Ostrava
Event date
Jan 1, 2009
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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