NobleBlocks
Public

A Bayesian nonlinear support vector machine error correction model

Published in Journal of Forecasting • Jan 1, 2006
NobleIDNI8P60W70R16S22
Authors:
Tony Van Gestel
,
Marcelo Espinoza
,
Bart Baesens

Abstract

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...

Finding related papers...

Discussions

(0)

No comments yet

Be the first to share your thoughts!