Zapranis, A.; Alexandridis, A. - In: Applied Mathematical Finance 15 (2008) 4, pp. 355-386
In this paper, in the context of an Ornstein-Uhlenbeck temperature process, we use neural networks to examine the time dependence of the speed of the mean reversion parameter α of the process. We estimate non-parametrically with a neural network a model of the temperature process and then...