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Principles of Neural Model Identification, Selection and Adequacy

With Applications to Financial Econometrics

  • Achilleas Zapranis
  • Apostolos-Paul N. Refenes

Part of the Perspectives in Neural Computing book series (PERSPECT.NEURAL)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 1-18
  3. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 19-35
  4. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 37-57
  5. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 59-74
  6. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 75-112
  7. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 113-118
  8. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 119-155
  9. Achilleas Zapranis, Apostolos-Paul N. Refenes
    Pages 157-159
  10. Back Matter
    Pages 161-190

About this book

Introduction

Neural networks have had considerable success in a variety of disciplines including engineering, control, and financial modelling. However a major weakness is the lack of established procedures for testing mis-specified models and the statistical significance of the various parameters which have been estimated. This is particularly important in the majority of financial applications where the data generating processes are dominantly stochastic and only partially deterministic. Based on the latest, most significant developments in estimation theory, model selection and the theory of mis-specified models, this volume develops neural networks into an advanced financial econometrics tool for non-parametric modelling. It provides the theoretical framework required, and displays the efficient use of neural networks for modelling complex financial phenomena. Unlike most other books in this area, this one treats neural networks as statistical devices for non-linear, non-parametric regression analysis.

Keywords

control derivatives econometrics model modeling networks neural networks regression regression analysis volatility

Authors and affiliations

  • Achilleas Zapranis
    • 1
  • Apostolos-Paul N. Refenes
    • 1
  1. 1.London Business SchoolLondonUK

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-0559-6
  • Copyright Information Springer-Verlag London Limited 1999
  • Publisher Name Springer, London
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-85233-139-9
  • Online ISBN 978-1-4471-0559-6
  • Series Print ISSN 1431-6854
  • Buy this book on publisher's site