The study proposes and a family of regime switching GARCH neural network models to model volatility. The proposed MS-ARMA-GARCH-NN models allow MS type regime switching in both the conditional mean and conditional variance for time series and further augmented with artificial neural networks to...

In empirical financial accounting research, ratios or first differences are usually calculated based on the financial and accounting data provided by the CRSP, Compustat and I/B/E/S datasets. However, in the construction of longer time series, the variables in these datasets present a challenge...

Causality between the ratio of domestic private credit to GDP and growth in real GDP per capita is investigated in a country-by-country time-series framework for 24 OECD economies over the period 1980–2013. The proposed threefold methodology to test for causal linkages integrates (i)...