Predicting returns on Canadian exchange rates with artificial neural networks and EGARCH-M models

Neural Computing and Applications

Volumn 4, Issue 3, 1996, Pages 168-174

  Episcopos, Athanasios ^a   Davis, Jefferson ^a  

^a CLARKSON UNIVERSITY   (United States)

Author keywords

Backpropagation; EGARCH M; Elman; Exchange rates; Neural networks

Indexed keywords

EID: 0030544763     PISSN: 09410643     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01414877     Document Type: Article

References (24)

1. Gallant A, Hsieh D, Tauchen G. On fitting a recalcitrant series: The pound/dollar exchange rate, 1974-1983. In W Bartnett et al., eds, Nonparametric and Semiparametric Methods in Econometrics and Statistics. Cambridge University Press, New York, 1991
2. Baillie R, McMahon P. The Foreign Exchange Market: Theory and econometric evidence. Cambridge University Press, Cambridge, MA, 1989
3. White H, Gallant A, Hornik K, Stinchcombe M, Wooldridge J. Artificial Neural Networks: Approximation and Learning Theory. Blackwell, Cambridge, MA, 1992
4. Ballie R, Bollerslev T. The message in daily exchange rates: A conditional-variance tale. Journal of Business and Economic Statistics 1989; 7(3): 297-305
5. Hsieh D. Modeling heteroskedasticity in daily foreign-exchange rates. Journal of Business and Economic Statistics 1989; 7(3): 307-317
6. Domowitz I, Hakkio C. Conditional variance and risk premium in foreign exchange market. Journal of International Economics 1985; 19: 47-66
7. Akgiray V, Booth G. Modeling the stochastic behaviour of Canadian foreign exchange rates. Journal of Multinational Financial Management 1991; 1(1): 43-72
8. Theodossiou P. The stochastic properties of major Canadian exchange rates. The Financial Review 1994; 29(2): 193-221
9. Refenes A, Azema-Barac M, Chen L, Karoussos C. Currency exchange rate prediction and neural network design strategies. Neural Computing & Applications 1993; 1: 46-58
10. Kuan C. Forecasting exchange rates using feedforward and recurrent neural networks. Working Paper, University of Illinois, Urbana-Champaign, 1994
11. Poddig T. Short term forecasting of the USD/DM-exchange rate. Proc First Int Workshop Neural Networks in the Capital Markets, London Business School, 1993
12. Pi H. Dependency analysis and neural network modeling of currency exchange rates. Proc First Int Workshop Neural Networks in the Capital Markets, London Business School, 1993
13. Brock W, Hsieh D, LeBaron B. Nonlinear dynamics, chaos, and instability. MIT Press, Cambridge, MA, 1991
14. Nelson D. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 1991; 59(2): 347-370
15. Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982; 50: 987-1007
16. Bollerslev T. Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH approach. Review of Economics and Statistics 1990; 72: 498-505
17. Black F. Studies of stock market volatility changes. Proc American Statistical Association, Business and Economic Statistics Section 1976; 177-81.
18. Hamao, Y, Masulis R, Ng V. Correlations in price changes and volatility across international stock markets. The Review of Financial Studies 1990; 3(2): 281-307
19. Bera A, Higgins M. ARCH models: Properties, estimation and testing. Journal of Economic Surveys 1992; 7(4): 305-366
20. Froot K, Obsfeld M. Stochastic process switching: Some simple solutions. Econometrica 1991; 59(1): 241-250
21. White H. Economic prediction using neural networks: The case of IBM daily stock returns. IEEE Int Conf Neural Networks 1988: 451-458
22. Refenes A, Zapranis A, Francis G. Stock performance modeling using neural networks: A comparative study with regression models. Neural Networks 1994; 7(2): 375-388
23. Tang Z, de Alameida C, Fishwick P. Time series forecasting using neural networks vs. Box-Jenkins methodology. Simulations 1991; 303-310
24. Edmonds A. Multivariate prediction of financial time series using recent developments in chaos theory. Proc First Int Workshop Neural Networks in the Capital Markets, London Business School, 1993