Currency crisis forecasting with general regression neural networks

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	Currency crisis forecasting with general regression neural networks
	Yu, Lean ; Lai, Kin Keung ; Wang, Shou-Yang
	2006-09-01
发表期刊	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN	0219-6220
卷号	5 期号:3 页码:437-454
摘要	The main purpose of this study is to devise a general regression neural network (GRNN)- based currency crisis forecasting model for Southeast Asian economies based upon the disastrous 1997-1998 currency crisis experience. For this some typical indicators of currency exchange rates volatility are first chosen, then these indicators are input into GRNN for training, and finally the trained GRNN is used for future crisis prediction. To verify the effectiveness of the proposed currency crisis forecasting approach, four typical Southeast Asian currencies, Indonesian rupiah, Philippine peso, Singapore dollar and Thai baht, are selected. Meantime we compare its performance with those of other forecasting methods to evaluate the forecasting ability of the proposed approach. Empirical results obtained reveal that the proposed currency crisis forecasting model has a surprisingly high degree of accuracy in judging the currency crisis level of each country in specified time period, implying that our proposed approach can be used as a feasible currency crisis early-warning system to predict currency crisis level for other countries around the world.
关键词	currency crisis forecasting general regression neural network (GRNN) exchange rate volatility currency crisis early-warning system
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号	WOS:000241441600003
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2899
专题	系统科学研究所
通讯作者	Yu, Lean
作者单位	1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 3.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 4.Univ Tsukuba, Grad Sch Syst & Informat Engn, Tsukuba, Ibaraki 3058573, Japan
推荐引用方式 GB/T 7714	Yu, Lean,Lai, Kin Keung,Wang, Shou-Yang. Currency crisis forecasting with general regression neural networks[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2006,5(3):437-454.
APA	Yu, Lean,Lai, Kin Keung,&Wang, Shou-Yang.(2006).Currency crisis forecasting with general regression neural networks.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,5(3),437-454.
MLA	Yu, Lean,et al."Currency crisis forecasting with general regression neural networks".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 5.3(2006):437-454.