{"id":"https://openalex.org/W2026318079","doi":"https://doi.org/10.1007/bf01414877","title":"Predicting returns on Canadian exchange rates with artificial neural networks and EGARCH-M models","display_name":"Predicting returns on Canadian exchange rates with artificial neural networks and EGARCH-M models","publication_year":1996,"publication_date":"1996-09-01","ids":{"openalex":"https://openalex.org/W2026318079","doi":"https://doi.org/10.1007/bf01414877","mag":"2026318079"},"language":"en","primary_location":{"id":"doi:10.1007/bf01414877","doi":"https://doi.org/10.1007/bf01414877","is_oa":false,"landing_page_url":"https://doi.org/10.1007/bf01414877","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","jufo-1","ki-jl-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing & Applications","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056483262","display_name":"Athanasios Episcopos","orcid":"https://orcid.org/0000-0001-5797-2722","observed_orcids":["https://orcid.org/0000-0001-5797-2722"]},"institutions":[{"id":"https://openalex.org/I16944753","display_name":"Clarkson University","ror":"https://ror.org/03rwgpn18","country_code":"US","type":"education","lineage":["https://openalex.org/I16944753"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Athanasios Episcopos","raw_affiliation_strings":["Department of Economics & Finance, Clarkson University, 13699-5785, Potsdam, NY, USA","Department of Economics & Finance, Clarkson University, Potsdam, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics & Finance, Clarkson University, 13699-5785, Potsdam, NY, USA","institution_ids":["https://openalex.org/I16944753"]},{"raw_affiliation_string":"Department of Economics & Finance, Clarkson University, Potsdam, USA","institution_ids":["https://openalex.org/I16944753"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000536117","display_name":"Jefferson Davis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I16944753","display_name":"Clarkson University","ror":"https://ror.org/03rwgpn18","country_code":"US","type":"education","lineage":["https://openalex.org/I16944753"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jefferson Davis","raw_affiliation_strings":["Department of Accounting & Law, Clarkson University, Potsdam, New York, USA","Dept. of Accounting and Law, Clarkson University, Potsdam, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting & Law, Clarkson University, Potsdam, New York, USA","institution_ids":["https://openalex.org/I16944753"]},{"raw_affiliation_string":"Dept. of Accounting and Law, Clarkson University, Potsdam, USA","institution_ids":["https://openalex.org/I16944753"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5056483262"],"corresponding_institution_ids":["https://openalex.org/I16944753"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":1.3376,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.76502797,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"4","issue":"3","first_page":"168","last_page":"174"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.8154000043869019,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.8154000043869019,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.15940000116825104,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.015300000086426735,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/neural-network","display_name":"artificial neural networks","score":0.8050000071525574},{"id":"https://openalex.org/keywords/back-propagation-neural-network","display_name":"BP neural network","score":0.9020000100135803},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.4090000092983246},{"id":"https://openalex.org/keywords/random-walks","display_name":"random walks","score":0.7279999852180481},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8180000185966492}],"concepts":[{"id":"https://openalex.org/C50644808","wikidata":"https://www.wikidata.org/wiki/Q192776","display_name":"Artificial neural network","level":2,"score":0.6958010792732239},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6184436082839966},{"id":"https://openalex.org/C3019931467","wikidata":"https://www.wikidata.org/wiki/Q4917","display_name":"Us dollar","level":3,"score":0.6023672819137573},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.598015546798706},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.5645683407783508},{"id":"https://openalex.org/C155032097","wikidata":"https://www.wikidata.org/wiki/Q798503","display_name":"Backpropagation","level":3,"score":0.5443766117095947},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.5035642981529236},{"id":"https://openalex.org/C46461501","wikidata":"https://www.wikidata.org/wiki/Q1935853","display_name":"Random walk hypothesis","level":4,"score":0.4667055606842041},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4537307918071747},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.44984954595565796},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.42626190185546875},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33139902353286743},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3291930854320526},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3149188160896301},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2684279680252075},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.07887059450149536},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/bf01414877","doi":"https://doi.org/10.1007/bf01414877","is_oa":false,"landing_page_url":"https://doi.org/10.1007/bf01414877","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","ccf-c","cwts-core","jufo-1","ki-jl-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Neural Computing & Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1490503310","https://openalex.org/W1533840382","https://openalex.org/W1964723294","https://openalex.org/W1965018665","https://openalex.org/W1966106237","https://openalex.org/W1966827755","https://openalex.org/W1975502490","https://openalex.org/W1976201254","https://openalex.org/W1979575715","https://openalex.org/W1999814123","https://openalex.org/W2053865013","https://openalex.org/W2063593194","https://openalex.org/W2064234558","https://openalex.org/W2067057029","https://openalex.org/W2082642328","https://openalex.org/W2091358667","https://openalex.org/W2120224355","https://openalex.org/W2152804254","https://openalex.org/W2159443783","https://openalex.org/W2328464670","https://openalex.org/W3005117407","https://openalex.org/W3023579384","https://openalex.org/W4242895211","https://openalex.org/W4299832949","https://openalex.org/W4301783367"],"related_works":["https://openalex.org/W1995150978","https://openalex.org/W2517759944","https://openalex.org/W2081075625","https://openalex.org/W2221053199","https://openalex.org/W2060434385","https://openalex.org/W2887231133","https://openalex.org/W1606516725","https://openalex.org/W2028817989","https://openalex.org/W2169889651","https://openalex.org/W2903315783"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}