Modelling non-linear moving average processes using neural networks with error feedback: An application to implied volatility forecasting.
A. Neil BurgessApostolos-Paul Nicholas RefenesPublished in: Signal Process. (1999)
Keyphrases
- moving average
- neural network
- arma model
- exponential smoothing
- arima model
- autoregressive
- exchange rate
- turning points
- financial time series
- grey model
- highly non linear
- garch model
- non stationary
- artificial neural networks
- short term
- stock price
- stock market
- prediction model
- neural network model
- fault diagnosis
- back propagation
- parameter estimation