Title:
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Forecasting financial time series with Multiple Kernel Learning
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Author:
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Fábregues, Luis; Arratia Quesada, Argimiro Alejandro; Belanche Muñoz, Luis Antonio
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Other authors:
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Universitat Politècnica de Catalunya. Departament de Ciències de la Computació; Universitat Politècnica de Catalunya. LARCA - Laboratori d'Algorísmia Relacional, Complexitat i Aprenentatge |
Abstract:
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This paper introduces a forecasting procedure based on mul-tivariate dynamic kernels to re-examine –under a non linear framework–the experimental tests reported by Welch and Goyal showing that severalvariables proposed in the academic literature are of no use to predict theequity premium under linear regressions. For this approach kernel functions for time series are used with multiple kernel learning in order torepresent the relative importance of each of these variabl |
Abstract:
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Peer Reviewed |
Subject(s):
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-Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica -Finance -- Econometric models -Forecasting -Support vector classification -Financial time series -Multiple Kernel Learning -Time series kernels -Finances -- Models economètrics |
Rights:
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Document type:
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Article - Submitted version Conference Object |
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