The Efficacy of Neural Networks in Predicting Returns on Stock and Bond Indices

Volume: 29, Issue: 2, Pages: 405 - 423
Published: Mar 1, 1998
Abstract
This paper uses two recently developed tests to identify neglected nonlinearity in the relationship between excess returns on four asset classes and several economic and financial variables. Having found some evidence of possible nonlinearity, it was then investigated whether the predictive power of these variables could be enhanced by using neural network models instead of linear regression or GARCH models. Some evidence of nonlinearity...
Paper Details
Title
The Efficacy of Neural Networks in Predicting Returns on Stock and Bond Indices
Published Date
Mar 1, 1998
Volume
29
Issue
2
Pages
405 - 423
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.