Forecasting financial variables using artificial neural networks - dynamic factor model
In this paper we introduce a new model that uses the dynamic factor model (DFM) framework combined with artificial neural network (ANN) analysis, which accommodates a large cross-section of financial and macroeconomic time series for forecasting. In our new ANN-DF model we use the factor model to ex...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2017-06-01
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| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/7 |