Zobrazeno 1 - 10
of 20
pro vyhledávání: '"Apostolos-Paul N. Refenes"'
Publikováno v:
International Review of Financial Analysis. 45:121-133
This study explores the dynamic properties and predictability of the Realized Minimum Variance Hedge Ratio (RMVHR), constructed from five-minute spot and future returns of two stock indices and two exchange rates. A number of econometric models are e
Publikováno v:
The Journal of Alternative Investments. 7:66-82
Value at risk (VaR) is an estimate of the worst loss over a target horizon with a given level of confidence. Despite its shortcomings, the Basel Committee on Banking Supervision has chosen it as the standard method to measure the market risk of a por
This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of
Publikováno v:
Journal of Forecasting. 18:299-332
In recent years an impressive array of publications has appeared claiming considerable successes of neural networks in modelling financial data but sceptical practitioners and statisticians are still raising the question of whether neural networks re
Neural networks have had considerable success in a variety of disciplines including engineering, control, and financial modelling. However a major weakness is the lack of established procedures for testing mis-specified models and the statistical sig
Publikováno v:
IEEE Transactions on Neural Networks. 8:1222-1267
Neural networks have shown considerable successes in modeling financial data series. However, a major weakness of neural modeling is the lack of established procedures for performing tests for misspecified models, and tests of statistical significanc
Publikováno v:
Neurocomputing. 14:123-138
We propose a simple modification to the error backpropagation procedure which takes into account gradually changing input-output relations. The procedure is based on the principle of Discounted least squares whereby learning is biased towards more re
Publikováno v:
Defence and Peace Economics. 6:27-41
Greece has regularly ranked as the country with the highest defence burden in NATO and the European Union. Over the past decades she has allocated an averatge 6% of GDP to defence yearly. This study using neural networks examines the external securit
Autor:
Apostolos-Paul N. Refenes, W.T. Holt
Publikováno v:
IEEE transactions on neural networks. 12(4)
Neural nets' usefulness for forecasting is limited by problems of overfitting and the lack of rigorous procedures for model identification, selection and adequacy testing. This paper describes a methodology for neural model misspecification testing.
Publikováno v:
Workshop on Neural Network Applications and Tools.
Neural networks have attracted much interest in financial engineering but many multivariate data series remain diflcult to model. In this paper we use a non trivial problem in expsure analysis of share prices to multiple factors to explore the interr