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Modeling the S&P 500 Index using the Kalman Filter and the LagLasso
Nicolas Mahler
Video in druga učna gradiva
Oznake: social sciences;economics;computer science;machine learning;mathematics;statistics
This video introduces a method to predict upward and downward monthly variations of the S&P 500 index by using a pool of macro-economic and financial explicative variables. The method is based on the combination of a denoising step, performed by Kalman filtering, with a variable selection step, perf ...
Leto: 2009 Vir: videolectures.net
Št. zadetkov: 1
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