𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Specification via model selection in vector error correction models

✍ Scribed by Jesùs Gonzalo; Jean-Yves Pitarakis

Book ID
117333299
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
59 KB
Volume
60
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A Bayesian nonlinear support vector mach
A Bayesian nonlinear support vector machine error correction model
✍ Tony Van Gestel; Marcelo Espinoza; Bart Baesens; Johan A. K. Suykens; Carine Bra 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 385 KB

The use of linear error correction models based on stationarity and cointegration analysis, typically estimated with least squares regression, is a common technique for financial time series prediction. In this paper, the same formulation is extended to a nonlinear error correction model using the i