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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Hindawi Publishing Corporation
2014
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| 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 |