A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates
文献类型：期刊论文
| 作者 | Yu, L; Wang, SY; Lai, KK |
| 刊名 | COMPUTERS & OPERATIONS RESEARCH
 |
| 出版日期 | 2005-10-01 |
| 卷号 | 32期号:10页码:2523-2541 |
| 关键词 | GLAR AW nonlinear ensemble model forecasting foreign exchange rates |
| ISSN号 | 0305-0548 |
| DOI | 10.1016/j.cor.2004.06.024 |
| 英文摘要 | In this study, we propose a novel nonlinear ensemble forecasting model integrating generalized linear autoregression (GLAR) with artificial neural networks (ANN) in order to obtain accurate prediction results and ameliorate forecasting performances. We compare the new model's performance with the two individual forecasting models-GLAR and ANN-as well as with the hybrid model and the linear combination models. Empirical results obtained reveal that the prediction using the nonlinear ensemble model is generally better than those obtained using the other models presented in this study in terms of the same evaluation measurements. Our findings reveal that the nonlinear ensemble model proposed here can be used as an alternative forecasting tool for exchange rates to achieve greater forecasting accuracy and improve prediction quality further. (c) 2004 Elsevier Ltd. All rights reserved. |
| WOS研究方向 | Computer Science ; Engineering ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000228207700004 |
| 出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1479]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Lai, KK |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yu, L,Wang, SY,Lai, KK. A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates[J]. COMPUTERS & OPERATIONS RESEARCH,2005,32(10):2523-2541. |
| APA | Yu, L,Wang, SY,&Lai, KK.(2005).A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates.COMPUTERS & OPERATIONS RESEARCH,32(10),2523-2541. |
| MLA | Yu, L,et al."A novel nonlinear ensemble forecasting model incorporating GLAR and ANN for foreign exchange rates".COMPUTERS & OPERATIONS RESEARCH 32.10(2005):2523-2541. |
入库方式： OAI收割
来源：数学与系统科学研究院
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