This paper analyzes recursive and rolling neural network models to forecast one-step-ahead sign variations in gold price. Different combinations of techniques and sample sizes are studied for feed forward and ward neural networks. The results shows the rolling ward networks exceed the recursive...

We study the short and long term performance of the stock returns of Latin American companies with an Initial Public Offering (IPOs) by American Depositary Receipts (ADR) in New York Stock Exchange (NYSE). The results indicate a statistically significant underpricing of 9.22% for the ADR-IPOs...

This paper uses GARCH models to analize the relation between short term interest rates levels and their volatility. The finance literature show that this relation is not only positive but critical to explain the dynamics of nominal interest rate changes in the short run. However, when...

Using weekly stock index prices, corresponding to the period between April 07 of 1998 and April 14 of 2003, we analyzed the efficiency of the dynamic multivaried models, from recursives genetic algorithms, to forecast the weekly sign variations of stock-exchange indices IPC, TSE, Nasdaq and DJI....

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the Merval, Bovespa, S&P TSX Composite, IPSA, IGPA, S&P 500, Dow Jones Industrials, Nasdaq, IGBVL and IPC Stock Indexes respectively. The results of...