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forecasting, as demonstrated by out-of-sample predictions for 2017. …
Persistent link: https://www.econbiz.de/10011897260
In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN …
Persistent link: https://www.econbiz.de/10014496850
financial index price forecasting. …
Persistent link: https://www.econbiz.de/10014497016
general, there are five groups of networks used as forecasting tools: 1) Feedforward Networks, like the Multilayer Perceptron … forecasting stock indices and exchange rates. The objective is to assess the performance when applying different types of networks … in relation to MLP. It is shown that the MLP is the best network in forecasting time series. However, it is shown that …
Persistent link: https://www.econbiz.de/10010755947
In this paper we present a very brief description of least mean square algorithm with applications in time-series analysis of economic and financial time series. We present some numerical applications; forecasts for the Gross Domestic Product growth rate of UK and Italy, forecasts for S&P 500...
Persistent link: https://www.econbiz.de/10008615050
We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...
Persistent link: https://www.econbiz.de/10008922938
Wavelet SVM modelling. The findings show that SWSVM and MSR present the best forecasting performance, in the outof sample …
Persistent link: https://www.econbiz.de/10013044012
Electricity markets are considered to be, the most volatile amongst commodity markets. The non-storability of electricity and the need for instantaneous balancing of demand and supply can often cause extreme short-lived fluctuations in electricity prices. These fluctuations are termed price...
Persistent link: https://www.econbiz.de/10012933679
Wavelet SVM modelling. The findings show that SW-SVM and MSR present the best forecasting performance, in the out-of sample …
Persistent link: https://www.econbiz.de/10014039546
This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...
Persistent link: https://www.econbiz.de/10011378229