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 |