In this study the ability of artificial neural network (ANN) in forecasting the daily NASDAQ stock exchange rate was investigated. Several feed forward ANNs that were trained by the back propagation algorithm have been assessed. The methodology used in this study considered the short-term...

This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...