Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach.
Yi-Hsien WangPublished in: Expert Syst. Appl. (2009)
Keyphrases
- garch model
- stock index
- stock index futures
- neural network
- stock market
- forecasting model
- short term
- bp neural network
- multivariate time series
- sar images
- prediction model
- artificial neural networks
- back propagation
- long term
- neural network model
- heavy tailed
- genetic algorithm
- radial basis function
- financial time series
- stock exchange