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Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model
16 references·1 citing·44 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
  • 2011Using artificial neural network models in stock market index prediction787 cited
  • 2000Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index758 cited
  • 2006Robust forecasting of mortality and fertility rates: A functional data approach675 cited
  • 2010An Adaptive Network-Based Fuzzy Inference System (ANFIS) for the prediction of stock market return: The case of the Istanbul Stock Exchange426 cited
  • 2011Stock index forecasting based on a hybrid model377 cited
  • 2009Robust forecasting with exponential and Holt–Winters smoothing303 cited
  • 2020The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices257 cited
  • 2003Generating trading rules on the stock markets with genetic programming233 cited
  • 2016A hybrid ANFIS model based on empirical mode decomposition for stock time series forecasting190 cited
  • 2017Forecasting financial time series volatility using Particle Swarm Optimization trained Quantile Regression Neural Network189 cited

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2008
A genetic programming model for bankruptcy prediction: Empirical evidence from Iran
163 cited
  • 2004Bankruptcy theory development and classification via genetic programming160 cited
  • 2000Non-linear financial time series forecasting - Application to the Bel 20 stock market index129 cited
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    • 2023The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis24 cited