Recurrent neural network-adapted nonlinear ARMA-GARCH model with application to S&P 500 index data †
Journal of the Korean Data & Information Science Society 2019;30:1187-95
© 2019 Korean Data and Information Science Society.
Yongjin Jeong1 · Sangyeol Lee2
12 Department of Statistics, Seoul National University
Correspondence to: Professor, Department of Statistics, Seoul National University, 1 Gwanak-ro, Gwanak-gu, Seoul 08826, South Korea. E-mail:
sylee@stats.snu.ac.kr
† This work was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Science, ICT & Future Planning (No. 2018R1A2A2A05019433).
Received August 13, 2019; Revised September 2, 2019; Accepted September 11, 2019.
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