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Forecasting Economic Data with Neural Networks

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  • Farzan Aminian
  • E. Suarez

    ()

  • Mehran Aminian
  • Daniel Walz
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10614-006-9041-7
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 28 (2006)
    Issue (Month): 1 (August)
    Pages: 71-88

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    Handle: RePEc:kap:compec:v:28:y:2006:i:1:p:71-88

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: neural networks; nonlinear regression; economic data modeling; economic data forecasting;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    2. Arturo Estrella & Frederic S. Mishkin, 1998. "Predicting U.S. Recessions: Financial Variables As Leading Indicators," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
    3. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.
    4. Swanson, N.R. & White, H., 1995. "A Models Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Papers 04-95-12, Pennsylvania State - Department of Economics.
    5. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
    6. Kuan, Chung-Ming & Liu, Tung, 1995. "Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 347-64, Oct.-Dec..
    7. Barro, Robert J, 1990. "The Stock Market and Investment," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 115-31.
    8. Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
    9. El Shazly, Mona R. & El Shazly, Hassan E., 1999. "Forecasting currency prices using a genetically evolved neural network architecture," International Review of Financial Analysis, Elsevier, vol. 8(1), pages 67-82.
    10. Carlos Serrano-Cinca, 1997. "Feedforward neural networks in the classification of financial information," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 183-202.
    11. Estrella, Arturo & Hardouvelis, Gikas A, 1991. " The Term Structure as a Predictor of Real Economic Activity," Journal of Finance, American Finance Association, vol. 46(2), pages 555-76, June.
    12. Nag, Ashok K & Mitra, Amit, 2002. "Forecasting Daily Foreign Exchange Rates Using Genetically Optimized Neural Networks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 501-11, November.
    13. Jane M. Binner & Alicia M. Gazely & Shu-Heng Chen & Bin-Tzong Chie, 2004. "Financial Innovation and Divisia Money in Taiwan: Comparative Evidence from Neural Network and Vector Error-Correction Forecasting Models," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 213-224, 04.
    14. Jagric Timotej, 2003. "A Nonlinear Approach to Forecasting with Leading Economic Indicators," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
    15. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
    16. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
    17. Lonnie Hamm & B. Wade Brorsen, 2000. "Trading futures markets based on signals from a neural network," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 137-140.
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    Cited by:
    1. Daniel Farhat, 2014. "Artificial Neural Networks and Aggregate Consumption Patterns in New Zealand," Working Papers 1404, University of Otago, Department of Economics, revised Mar 2014.
    2. Dan Farhat, 2012. "Artificial Neural Networks and Aggregate Consumption Patterns in New Zealand," Working Papers 1205, University of Otago, Department of Economics, revised Dec 2012.
    3. Mostafa, Mohamed M. & Nataraajan, Rajan, 2009. "A neuro-computational intelligence analysis of the ecological footprint of nations," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3516-3531, July.
    4. Daniel Farhat, 2014. "Information Processing, Pattern Transmission and Aggregate Consumption Patterns in New Zealand," Working Papers 1405, University of Otago, Department of Economics, revised Mar 2014.

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