Currency crisis forecasting with general regression neural networks
文献类型：期刊论文
| 作者 | Yu, Lean; Lai, Kin Keung; Wang, Shou-Yang
|
| 刊名 | INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
 |
| 出版日期 | 2006-09-01 |
| 卷号 | 5期号:3页码:437-454 |
| 关键词 | currency crisis forecasting general regression neural network (GRNN) exchange rate volatility currency crisis early-warning system |
| ISSN号 | 0219-6220 |
| 英文摘要 | The main purpose of this study is to devise a general regression neural network (GRNN)- based currency crisis forecasting model for Southeast Asian economies based upon the disastrous 1997-1998 currency crisis experience. For this some typical indicators of currency exchange rates volatility are first chosen, then these indicators are input into GRNN for training, and finally the trained GRNN is used for future crisis prediction. To verify the effectiveness of the proposed currency crisis forecasting approach, four typical Southeast Asian currencies, Indonesian rupiah, Philippine peso, Singapore dollar and Thai baht, are selected. Meantime we compare its performance with those of other forecasting methods to evaluate the forecasting ability of the proposed approach. Empirical results obtained reveal that the proposed currency crisis forecasting model has a surprisingly high degree of accuracy in judging the currency crisis level of each country in specified time period, implying that our proposed approach can be used as a feasible currency crisis early-warning system to predict currency crisis level for other countries around the world. |
| WOS研究方向 | Computer Science ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000241441600003 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2898]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yu, Lean |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 3.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 4.Univ Tsukuba, Grad Sch Syst & Informat Engn, Tsukuba, Ibaraki 3058573, Japan |
| 推荐引用方式 GB/T 7714 | Yu, Lean,Lai, Kin Keung,Wang, Shou-Yang. Currency crisis forecasting with general regression neural networks[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2006,5(3):437-454. |
| APA | Yu, Lean,Lai, Kin Keung,&Wang, Shou-Yang.(2006).Currency crisis forecasting with general regression neural networks.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,5(3),437-454. |
| MLA | Yu, Lean,et al."Currency crisis forecasting with general regression neural networks".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 5.3(2006):437-454. |
入库方式： OAI收割
来源：数学与系统科学研究院
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