Nonlinear forecasting with many predictors by neural network factor models
Habibnia, Ali
(2015)
Nonlinear forecasting with many predictors by neural network factor models
In: LSE Research Festival 2015, 2015-05-21, London,United Kingdom,GBR.
This study proposes a nonlinear generalisation of factor models based on artificial neural networks for forecasting financial time series with many predictors.
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