Forecasting using supervised factor models
This paper examines the theoretical and empirical properties of a supervised factor model based on combining forecasts using principal components (CFPC), in comparison with two other supervised factor models (partial least squares regression, PLS, and principal covariate regression, PCovR) and with...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co.
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |