tailieunhanh - Elsevier, Neural Networks In Finance 2005_3

Tham khảo tài liệu 'elsevier, neural networks in finance 2005_3', tài chính - ngân hàng, ngân hàng - tín dụng phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 38 2. What Are Neural Networks we may wish to classify outcomes as a probability of low medium or high risk. We would have two outputs for the probability of low and medium risk and the high-risk case would simply be one minus the two probabilities. Neural Network Smooth-Transition Regime Switching Models While the networks discussed above are commonly used approximators an important question remains How can we adapt these networks for addressing important and recurring issues in empirical macroeconomics and finance In particular researchers have long been concerned with structural breaks in the underlying data-generating process for key macroeconomic variables such as GDP growth or inflation. Does one regime or structure hold when inflation is high and another when inflation is low or even below zero Similarly do changes in GDP have one process in recession and another in recovery These are very important questions for forecasting and policy analysis since they also involve determining the likelihood of breaking out of a deflation or recession regime. There have been many macroeconomic time-series studies based on regime switching models. In these models one set of parameters governs the evolution of the dependent variable for example when the economy is in recovery or positive growth and another set of parameters governs the dependent variable when the economy is in recession or negative growth. The initial models incorporated two different linear regimes switching between periods of recession and recovery with a discrete Markov process as the transition function from one regime to another see Hamilton 1989 1990 . Similarly there have been many studies examining nonlinearities in business cycles which focus on the well-observed asymmetric adjustments in times of recession and recovery see Terasvirta and Anderson 1992 . More recently we have seen the development of smooth-transition regime switching models discussed in Frances and van Dijk 2000 originally .