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eISBN : 9780080479651

Sommaire :
Chapter 1: Introduction
1.1 Forecasting, Classification, and Dimensionality Reduction
1.2 Synergies
1.3 The Interface Problems
1.4 Plan of the Book

I: Econometric Foundations

Chapter 2: What Are Neural Networks?
2.1 Linear Regression Model
2.2 GARCH Nonlinear Models
2.3 Model Typology
2.4 What Is A Neural Network?
2.5 Neural Network Smooth-Transition Regime Switching Models
2.6 Nonlinear Principal Components: Intrinsic Dimensionality
2.7 Neural Networks and Discrete Choice
2.8 The Black Box Criticism and Data Mining
2.9 Conclusion

Chapter 3: Estimation of a Network with Evolutionary Computation
3.1 Data Preprocessing
3.2 The Nonlinear Estimation Problem
3.3 Repeated Estimation and Thick Models
3.4 MATLAB Examples: Numerical Optimization and Network Performance
3.5 Conclusion

Chapter 4: Evaluation of Network Estimation
4.1 In-Sample Criteria
4.2 Out-of-Sample Criteria
4.3 Interpretive Criteria and Significance of Results
4.4 Implementation Strategy
4.5 Conclusion

II: Applications and Examples

Chapter 5: Estimating and Forecasting with Artificial Data
5.1 Introduction
5.2 Stochastic Chaos Model
5.3 Stochastic Volatility/Jump Diffusion Model
5.4 The Markov Regime Switching Model
5.5 Volatility Regime Switching Model
5.6 Distorted Long-Memory Model
5.7 Black-Sholes Option Pricing Model: Implied Volatility Forecasting
5.8 Conclusion

Chapter 6: Times Series: Examples from Industry and Finance
6.1 Forecasting Production in the Automotive Industry
6.2 Corporate Bonds: Which Factors Determine the Spreads?
6.3 Conclusion

Chapter 7: Inflation and Deflation: Hong Kong and Japan
7.1 Hong Kong
7.2 Japan
7.3 Conclusion

Chapter 8: Classification: Credit Card Default and Bank Failures
8.1 Credit Card Risk
8.2 Banking Intervention
8.3 Conclusion

Chapter 9: Dimensionality Reduction and Implied Volatility Forecasting
9.1 Hong Kong
9.2 United States
9.3 Conclusion
Bibliography
Index

Langue : Anglais

Collection : ACADEMIC PRESS ADVANCED FINANCE SERIES

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque