Binner, Jane M.; Elger, Thomas; Nilsson, Birger; … - In: Applications of artificial intelligence in finance and …, (pp. 71-91). 2004
The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we...
