Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures

DOI10.1007/S10614-008-9144-4MaRDI QIDQ954784zbMATH OpenOpenAlexFDO

Authors Khurshid M. Kiani, Terry L. Kastens

Publication date 18 November 2008

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-008-9144-4

zbMATH Keywords

ARMArecurrent neural networkout-of-sample forecastsstate spaceexchange rate forecastsfeed forward neural networksin-sample forecasts

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84) Neural networks for/in biological studies, artificial life and related topics (92B20)

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Cites work

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• Estimating the dimension of a model
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• Money as a medium of exchange in an economy with artificially intelligent agents
• Multilayer feedforward networks are universal approximators
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• Tests of Conditional Predictive Ability

Cited in

(3)

• Feedforward versus recurrent neural networks for forecasting monthly Japanese yen exchange rates
• Forecasting exchange rate in India: an application of artificial neural network model
• Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization

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