Forecasting Financial and Macroeconomic Variables Using an Adaptive Parameter VAR-KF Model
The primary objective of this article is to present an adaptive parameter VAR-KF technique (APVAR-KF) to forecast stock market performance and macroeconomic factors. The method exploits a vector autoregressive model as a system identification technique, and the Kalman filter is served as a recursive...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2023-02-01
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Series: | Mathematical and Computational Applications |
Subjects: | |
Online Access: | https://www.mdpi.com/2297-8747/28/1/19 |