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Using change-point detection to support artificial neural networks for interest rates forecasting
16 references·8 citing·28 second hop
Using change-point detection to support artificial neural networks for interest rates forecasting (2000)Using change-point detection to support a…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time (1998)Additional Tests for a Unit R…Multiple Trend Breaks and the Unit-Root Hypothesis (1997)Multiple Trend Breaks and the…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)The Effects of Monetary Polic…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Error measures for generalizing about forecasting methods: Empirical comparisons (1992)Error measures for generalizi…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Searching For a Break in GNP (1988)Searching For a Break in GNPThe Economics of Money, Banking and Financial Markets (1986)The Economics of Money, Banki…A Non-Parametric Approach to the Change-Point Problem (1979)A Non-Parametric Approach to …Money and Economic Growth (1965)Money and Economic GrowthInflation and Real Interest (1963)Inflation and Real InterestA Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions (2021)A Comparative Analysis of Par…An Efficient Deep Learning Based Model to Predict Interest Rate Using Twitter Sentiment (2020)An Efficient Deep Learning Ba…A shape-based cutting and clustering algorithm for multiple change-point detection (2019)A shape-based cutting and clu…Using Genetic Algorithms for Real Estate Appraisals (2017)Using Genetic Algorithms for …On the Effect of Bank of Japan's Outright Purchase on the JGB Yield Curve (2017)On the Effect of Bank of Japa…Interest rate next-day variation prediction based on hybrid feedforward neural network, particle swarm optimization, and multiresolution techniques (2015)Interest rate next-day variat…An intelligent method of change-point detection based on LS-SVM algorithm (2013)An intelligent method of chan…Forecasting industrial production in Brazil: Evidence from a wavelet approach (2010)Forecasting industrial produc…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)What have We Learnt from the Convergence Debate? (2003)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)A state space framework for automatic forecasting using exponential smoothing methods (2002)Making and Evaluating Point Forecasts (2011)A new metric of absolute percentage error for intermittent demand forecasts (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Money-Wage Dynamics and Labor-Market Equilibrium (1968)Social Security, Induced Retirement, and Aggregate Capital Accumulation (1974)Some Unpleasant Monetarist Arithmetic (1984)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Predictability of Stock Returns: Robustness and Economic Significance (1995)Toward a Comparative Institutional Analysis (2002)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)Testing for a unit root in variables with a double change in the mean (1998)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)A Simple Cumulative Sum Type Statistic for the Change-Point Problem with Zero-One Observations (1980)Nonparametric Monitoring of Data Streams for Changes in Location and Scale (2011)Parametric and Nonparametric Sequential Change Detection in R: The cpm Package (2015)Oil price shocks and stock market activity (1999)
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References

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  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1979A Non-Parametric Approach to the Change-Point Problem4,167 cited
  • 1986The Economics of Money, Banking and Financial Markets2,292 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1965Money and Economic Growth1,671 cited
  • 1997Multiple Trend Breaks and the Unit-Root Hypothesis1,504 cited
  • 1992Error measures for generalizing about forecasting methods: Empirical comparisons1,400 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1963Inflation and Real Interest720 cited
  • 1998Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time

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656 cited
  • 1988Searching For a Break in GNP587 cited
  • Cited by

    • 2017Using Genetic Algorithms for Real Estate Appraisals70 cited
    • 2015Interest rate next-day variation prediction based on hybrid feedforward neural network, particle swarm optimization, and multiresolution techniques32 cited
    • 2020An Efficient Deep Learning Based Model to Predict Interest Rate Using Twitter Sentiment27 cited
    • 2021A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions23 cited
    • 2017On the Effect of Bank of Japan's Outright Purchase on the JGB Yield Curve14 cited
    • 2010Forecasting industrial production in Brazil: Evidence from a wavelet approach13 cited
    • 2019A shape-based cutting and clustering algorithm for multiple change-point detection11 cited
    • 2013An intelligent method of change-point detection based on LS-SVM algorithm6 cited