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美国股指收益的时间不可逆性与 EGARCH 效应AI 解读

Abstract In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan ( 2000 ) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires weaker moment conditions than existing tests. Our simulations demonstrate that this test is powerful against asymmetry in volatility but the BDS test is not. In the empirical study of US stock index returns, we first find that these…

使用前馈与循环神经网络预测汇率AI 解读

Abstract In this paper we investigate the out‐of‐sample forecasting ability of feedforward and recurrent neural networks based on empirical foreign exchange rate data. A two‐step procedure is proposed to construct suitable networks, in which networks are selected based on the predictive stochastic complexity (PSC) criterion, and the selected networks are estimated using both recursive Newton algorithms and the method of nonlinear least squares. Our results show that PSC is a…