We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

This paper presents a comprehensive review and comparison of five computational methods for Bayesian model selection, based on MCMC simulations from posterior model parameter distributions. We apply these methods to a well-known and important class of models in financial time series analysis,...

The search for deterministic chaos in economic and financial time series has attracted much interest over the past decade. Evidence of chaotic structures is usually blurred, however, by large random components in the time series. In the first part of this paper, a sophisticated algorithm for...