2022
DOI: 10.4236/ojs.2022.123027
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ANN-Time Varying GARCH Model: Simulations and Application in Modelling Temperature for Weather Derivatives

Abstract: In economics and finance, minimising errors while building an abstract representation of financial assets plays a critical role due to its application in areas such as risk management, decision making and option pricing. Despite the many methods developed to handle this problem, modelling processes with fixed and random periodicity still remains a major challenge. Such methods include Artificial Neural networks (ANN), Fuzzy Inference system (FIS), GARCH models and their hybrids. This study seeks to extend lite… Show more

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Cited by 2 publications
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