A comparison of statistical tests for the adequacy of a neural network regression model

DOI10.1080/14697680903426573zbMath1278.91193OpenAlexW2023339493MaRDI QIDQ2873017

Georgios Dounias, Nikos S. Thomaidis

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903426573

zbMATH Keywords

Monte Carloneural networksGARCH modelsLagrange multiplier tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Diagnostics, and linear inference and regression (62J20) Neural nets and related approaches to inference from stochastic processes (62M45)

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