Nonlinear Forecasting with Many Predictors by Neural Network Factor Models

Year
2017
Author(s)
Ali Habibnia
Source
Poster, LSE Research Festival 2015
Url
http://eprints.lse.ac.uk/62916/
BibTeX
BibTeX

This study proposes a nonlinear generalization of factor models based on artificial neural networks for forecasting financial time series with many predictors.

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