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Forecasting The Exchange Rate Series With Ann: The Case Of Turkey

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Author Info

  • Cem Kadilar

    ()
    (Hacettepe University)

  • Muammer Simsek

    ()
    (Cumhuriyet University)

  • Cagdas Hakan Aladag

    ()
    (Hacettepe University)

Abstract

As it is possible to model both linear and nonlinear structures in time series by using Artificial Neural Network (ANN), it is suitable to apply this method to the chaotic series having nonlinear component. Therefore, in this study, we propose to employ ANN method for high volatility Turkish TL/US dollar exchange rate series and the results show that ANN method has the best forecasting accuracy with respect to time series models, such as seasonal ARIMA and ARCH models. The suggestions about the details of the usage of ANN method are also made for the exchange rate of Turkey.

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Bibliographic Info

Article provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.

Volume (Year): 9 (2009)
Issue (Month): 1 (May)
Pages: 17-29

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Handle: RePEc:ist:ancoec:v:9:y:2009:i:1:p:17-29

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Web page: http://eidergisi.istanbul.edu.tr
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Related research

Keywords: Activation function; ARIMA; ARCH; Artificial neural network; Chaotic series; Exchange rate; Forecasting; Time series;

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References

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Cited by:
  1. CIOBANU Dumitru & BAR Mary Violeta, 2013. "On The Prediction Of Exchange Rate Dollar/Euro With An Svm Model," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 65(2), pages 91-109.

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