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Quantitative Return Forecasting

References

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References

 

Abarbanel, H.D.I. and Brown, R., Sidorowich, J.J. and Tsimring, L.S. (1993). The analysis of observed chaotic data in physical systems. Reviews of Modern Physics, Vol 65, No 4.

 

Billah, M.B., Hyndman, R.J. & Koehler, A.B. (2003). Empirical information criteria for time series forecasting model selection. Monash University, Australia, Department of Econometrics and Business Statistics, Working Paper 2/2003, ISSN 1440-771X.

 

Ghahramani, Z. (2015). Probabilistic machine learning and artificial intelligence. Nature, Vol 521

 

Kemp, M.H.D. (2005), Risk Management in a Fair Valuation World. British Actuarial Journal, 11, No. 4, pp. 595-712

 

Press, W.H., Teukolsky, S.A., Vetterling, W.T. and Flannery, B.P. (2007). Numerical Recipes: The Art of Scientific Computing. Cambridge University Press

 

Weigend, A.S. & Gershenfeld, N.A. (1993).  Time series prediction: forecasting the future and understanding the past, SFI Studies in the Sciences of Complexity, Proc Vol. XV, Addison-Wesley, 1993

 


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