Forecasting exchange rates using feedforward and recurrent neural networks PDF
Preview Forecasting exchange rates using feedforward and recurrent neural networks
UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN BOOKSTACKS Digitized by the Internet Archive in 2011 with funding from University of Illinois Urbana-Champaign http://www.archive.org/details/forecastingexcha93137kuan Faculty Working Paper 93-0137 J 330 s-r-^< B385 1993:137 COPY 2 Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks Revised - PARV OF THE IJ' .1^ Chung-Ming Kuan Tung Liu Department ofEconomics Department ofEconomics University ofIllinois BallState University Bureau of Economic and Business Research College ofConmnerce and Business Administraiion University of Illinois at Urbana-Champaign BEBR FACULTY WORKING PAPER NO. 93-0137 College of Commerce and Business Administration f University of Illinois at Grbana-Champaign May 1993 Forecasting Exchange Rates Using Feedforward and Recurrent Neural Networks - Revised Chung-Ming Kuan Tung Liu FORECASTING EXCHANGE RATES USING FEEDFORWARD AND RECURRENT NEURAL NETWORKS Chung-Ming Kuan Department of Economics University of Dlinois at Urbana-Champaign and Tung Liu Department of Economics Bail State University First Draft: May 15, 1992 Revised: April 20, 1993 f We would like to thank Roger Koenker, Bill Maloney, Paul Newbold, and four anonymous referees for their invaluable suggestions and comments. We are most grateful to Richard Baillie for providing us the dataset and to Bruce Mizrach and Hal White for permitting us to access their programs. C.-M. Kuan also thanks the Research Board of the University ofIllinois for research support. All remaining errors are ours. An early version of this paper (based on a different data set) was presented at the 1992 North American Winter Meeting of the Econometric Society in New Orleans, Louisiana.
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