Predicting Exchange Rate Volatility: Genetic Programming Versus GARCH and RiskMetrics

Created by W.Langdon from gp-bibliography.bib Revision:1.8592

@Article{43-54NeelyWeller,

• author = "Christopher J. Neely and Paul A. Weller",
• title = "Predicting Exchange Rate Volatility: Genetic Programming Versus GARCH and RiskMetrics",
• journal = "Federal Reserve Bank of St. Louis Review",
• year = "2002",
• volume = "84",
• number = "3",
• pages = "43--54",
• month = may # "/" # jun,
• keywords = "genetic algorithms, genetic programming",
• URL = "http://research.stlouisfed.org/publications/review/article/2325",
• URL = "http://research.stlouisfed.org/publications/review/02/05/43-54NeelyWeller.pdf",
• size = "12 pages",
• abstract = "We compare the performance of a genetic program in forecasting daily exchange rate volatility for the USA dollar-Deutsche mark and US dollar-yen exchange rates with that of a GARCH(1,1) model and a related RiskMetrics volatility forecast.",
• notes = "euro

  Federal Reserve Bank of St. Louis One Federal Reserve Bank Plaza St. Louis, MO 63102, USA",

}

Genetic Programming entries for Christopher J Neely Paul A Weller

Citations