Forecasting the REITs and stock indices: Group Method of Data Handling Neural Network approach

@article{Li2017ForecastingTR,
  title={Forecasting the REITs and stock indices: Group Method of Data Handling Neural Network approach},
  author={Rita Yi Man Li and Simon James Fong and Kyle Weng Sang Chong},
  journal={Pacific Rim Property Research Journal},
  year={2017},
  volume={23},
  pages={123 - 160}
}
Abstract If there is long-term memory in property stocks and REITs prices, historical data is relevant for future prices prediction. Despite previous research adopted various different methods to forecast future asset prices by using historical data; we attempted to forecast the REITs and stock indices by Group Method of Data Handling (GMDH) neural network method with Hurst which is the first of its kind. Our results showed that GMDH neural network performed better than the classical… 
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