Exchange Rate Volatility Forecasting by Hybrid Neural Network Markov Switching Beta-t-EGARCH.
Ruofan LiaoWoraphon YamakaSongsak SriboonchittaPublished in: IEEE Access (2020)
Keyphrases
- exchange rate
- hybrid neural network
- stock index futures
- foreign exchange
- stock price
- financial time series
- neural network
- minimum variance
- stock market
- economic growth
- financial crisis
- var model
- long run
- markov chain
- financial markets
- currency exchange
- risk aversion
- stock exchange
- sufficient conditions
- non stationary
- long term
- natural language
- learning algorithm