Ben Yaala, Sirine; Henchiri, Jamel Eddine - In: Journal of Financial Regulation and Compliance 32 (2024) 5, pp. 590-619
Purpose This study aims to predict stock market crises in the Middle East North Africa (MENA) regions by leveraging the nonlinear autoregressive neural network with exogenous inputs (NARX) model with two measures of investor sentiment: the ARMS indicator and Google Trends' search volume of...