Forecasting The Exchange Rate Series With Ann: The Case Of Turkey

Baharumshah, A.Z., & Liew, K.S. (2003). The predictability of ASEAN-5 exchange rates in the post-crisis era.
Pertanika Journal of Social Science and Humanities, 11(1), 33-40.
Box, G., & Jenkins, G. (1976). Time Series Analysis: Forecasting and Control. Holden-Day, San Francisco.
Bollerslev, T. (1986). Generalised Autoregressive Conditional Hetero-scedasticity. Journal of Econometrics, 51,
307-327.
Brooks, C. (1997). Linear and non-linear non forecastibility of high-frequency exchange rates. Journal of
Forecasting, 16, 125-145.
Cichocki, A., & Unbehauen, R. (1993). Neural networks for optimization and signal processing. John Wiley &
Sons, New York.
Cheung, Y.W. (1993). Long memory in foreign exchange-rates. Journal of Business and Economic Studies, 11,
93-101.
Clark, P.B., & McDonald, R. (1998). Exchange rates and economics fundamentals: A methodological
comparison of BEEs and FEERs. (Working Paper, WP/98/67. Washington, International Monatary Fund).
Coakley, J., & Fuertes, A. (2001). Nonparametric cointegtration analysis of real exchange rates. Applied
Financial Economics, 11, 1-8.
Cornell, B. (1977). Spot rates, forward rates and exchange market efficiency. Journal of Financial Economics, 5,
55-65.
Dornbusch, R. (1976). Expectations and exchange rates dynamics. Journal of Political Economy, 84(6), 1161-
1176.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimation of the variance of United
Kingdom inflation. Econometrica, 50, 987-1007.
Egrioglu, E., Aladag, C.H., & Gunay, S. (2008). A new model selection strategy in artificial neural networks.
Applied Mathematics and Computation, 195, 591–597.
Frankel, J. (1979). On the Mark: A theory of floating exchange rates based on real interest differantials.
American Economic Review, 69(4), 610-622.
Franses, P.H., & Homelen, P.V. (1998). On forecasting exchange rates using neural Networks. Applied
Financial Economics, 8, 589-596.
Gaynor, P.E., & Kirkpatrick, R.C. (1994). Introduction to time series modeling and forecasting in business and
economics. Mc. Graw-Hill, Inc.
Giddy, I.H., & Duffey, G. (1975). The random behaviour of flexible exchange rates: implication for forecasting.
Journal of International Business Studies, 6, 1-33.
Gardojevic, N., & Yang, J. (2000). The application of neural networks to exchange rate forecasting: The role of
market microstructure variables. (Bank of Canada Working Paper 2000-23).
Hakkio, C.S., & Rush, M. (1986). Market efficiency and cointegration: An application to the Sterling and
Deutschemark exchange market. Journal of International Money and Finance, 5, 221-230.
Hsieh, D.A. (1989a). Testing for nonlinear dependence in daily foreign exchange rate changes. Journal of
Business, 62(3), 329-68.
Hsieh, D.A. (1989b). Modeling heteroscedasticity in daily foreign exchange rates. Journal of Business and
Economic Statistics, 7(3), 307-317.
Hornik, K., Stinchcombe, M. & White, H. (1989). Multilayer feedforward networks are universal approximators,
Neural Networks, 2, 359-366.
Hu, M.Y., Zhang, G., Jiang, C.X., & Patuwo, B.E. (1999). A cross-validation analysis of neural network out-ofsample
performance in exchange rate forecasting. Decision Sciences, 30(1), 197-216.
Lin, W.T., & Chen, Y.H. (1998). Forecasting foreign exchange rates with an intrinsically nonlinear dynamic
speed of adjustment model. Applied Economics, 30, 295-312.
Ma, Y., & Kanas, A. (2000). Testing for a nonlinear relationship among fundamentals and exchange rates in
ERM. Journal of International Money and Finance, 19, 135-152.
Mark, N. (1995). Exchange rates and fundamentals: evidence and long-run horizon predictability. American
Economic Review, 85, 201-218.
Meese, M.A., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample?,
Journal of International Economics, 14, 3-24.
Meese, R.A., & Rose, A.K. (1990). Nonlinear, nonparametric, nonessential exchange rate estimation. The
American Economic Review, 80(2), 678-691.
Meese, R.A., & Rose, A.K. (1991). An empirical assessment of nonlinearities in models of exchange rates
determination. Review of Economic Studies, 58(3), 613-19.
Palma, W., & Chan, N.H. (1997). Estimation and forecasting of long-memory processes with missing values.
Journal of Forecasting, 16, 395-410.
Panda, C., & Narasimhan, V. (2007). Forecasting exchange rate better with artificial neural network. Journal of
Policy Modeling, 29, 227-236.
Parikh, A., & Williams, G. (1998). Modelling real exchange rate behaviour: A cross- country study. Applied
Financial Economics, 8, 577-587.
Picton, P.D. (1994). Introduction to neural networks. Macmillan Press Ltd..
Plasmans, J., Verkooijen, W., & Daniels, H. (1998). Estimating structural exchange rate models by artificial
neural networks. Applied Financial Economics, 8, 541-51.
Qi, M., & Zhang, G.P. (2001). An investigation of model selection criteria for neural network time series
forecasting, European Journal of Operational Research, 132, 666-680.
Smith, K.A. (2002). Neural networks in business: Techniques and applications. Imprint Info Hershey: Idea
Group.
Ture, M., & Kurt, I. (2006). Comparison of four different time series methods to forecast hepatitis: A virus
infection, Expert Systems with Applications, 31, 41–46.
Zhang, G., & Hu, Y.M. (1998). Neural network forecasting of the British Pound/US Dollar exchange rate.
International Journal of Management Science, 26(4), 495-506.
Zhang, G., Patuwo, B.E., & Hu, Y.M. (1998). Forecasting with artificial neural networks: The state of the art.
International Journal of Forecasting, 14, 35-62.
Zurada, J.M. (1992). Introduction of artificial neural systems. St. Paul: West Publishing.