Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns

The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes. The second purpose of the study is to augment the MS-GARCH type models with artificial neural networks to benefit from...

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Bibliographic Details
Main Authors: Melike Bildirici, Özgür Ersin
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:The Scientific World Journal
Online Access:http://dx.doi.org/10.1155/2014/497941