Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns

The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes. The second purpose of the study is to augment the MS-GARCH type models with artificial neural networks to benefit from...

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Detalles Bibliográficos
Autores principales: Bildirici, Melike, Ersin, Özgür
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3997987/
https://www.ncbi.nlm.nih.gov/pubmed/24977200
http://dx.doi.org/10.1155/2014/497941

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3997987/
https://www.ncbi.nlm.nih.gov/pubmed/24977200
http://dx.doi.org/10.1155/2014/497941

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