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Using neural networks for forecasting volatility of S&P 500 Index futures prices

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  • Hamid, Shaikh A.
  • Iqbal, Zahid

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  • Hamid, Shaikh A. & Iqbal, Zahid, 2004. "Using neural networks for forecasting volatility of S&P 500 Index futures prices," Journal of Business Research, Elsevier, vol. 57(10), pages 1116-1125, October.
    • Handle: RePEc:eee:jbrese:v:57:y:2004:i:10:p:1116-1125
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    References listed on IDEAS

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    1. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January.
    2. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    3. Qi, Min, 2001. "Predicting US recessions with leading indicators via neural network models," International Journal of Forecasting, Elsevier, vol. 17(3), pages 383-401.
    4. Qi, Min & Zhang, Guoqiang Peter, 2001. "An investigation of model selection criteria for neural network time series forecasting," European Journal of Operational Research, Elsevier, vol. 132(3), pages 666-680, August.
    5. Pamela K. Coats & L. Franklin Fant, 1993. "Recognizing Financial Distress Patterns Using a Neural Network Tool," Financial Management, Financial Management Association, vol. 22(3), Fall.
    6. Gunter Meissner & Noriko Kawano, 2001. "Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 276-292, September.
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