Open AccessA Novel Approach to Forecasting High Dimensional S&P500 Portfolio Using VARX Model with Information Complexity
Author(s) -
Jana Salim,
Hamparsum Bozdogan
Publication year - 2022
Publication title -
journal of economics and technology research
Language(s) - English
Resource type - Journals
eISSN - 2690-3709
pISSN - 2690-3695
DOI - 10.22158/jetr.v3n2p1
Subject(s) - portfolio , econometrics , multivariate statistics , autoregressive model , stock (firearms) , principal component analysis , statistics , computer science , mathematics , economics , financial economics , mechanical engineering , engineering