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Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting
Joint Authors
Aydin, Alev Dilek
Caliskan Cavdar, Seyma
Source
Computational Intelligence and Neuroscience
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-13
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey.
Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time.
In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN.
The training of network has been done by resilient propagation method.
The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR.
Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017.
The results which were obtained with the method of VAR also support the results of ANN method.
Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.
American Psychological Association (APA)
Aydin, Alev Dilek& Caliskan Cavdar, Seyma. 2015. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting. Computational Intelligence and Neuroscience،Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1057696
Modern Language Association (MLA)
Aydin, Alev Dilek& Caliskan Cavdar, Seyma. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting. Computational Intelligence and Neuroscience No. 2015 (2015), pp.1-11.
https://search.emarefa.net/detail/BIM-1057696
American Medical Association (AMA)
Aydin, Alev Dilek& Caliskan Cavdar, Seyma. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting. Computational Intelligence and Neuroscience. 2015. Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1057696
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1057696