Forecasting Financial and Macroeconomic Variables Using an Adaptive Parameter VAR-KF Model
The primary objective of this article is to present an adaptive parameter VAR-KF technique (APVAR-KF) to forecast stock market performance and macroeconomic factors. The method exploits a vector autoregressive model as a system identification technique, and the Kalman filter is served as a recursive...
Gorde:
| Egile Nagusiak: | , |
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
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MDPI AG
2023-02-01
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| Saila: | Mathematical and Computational Applications |
| Gaiak: | |
| Sarrera elektronikoa: | https://www.mdpi.com/2297-8747/28/1/19 |
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