Tutorial on VAR models + regularization
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Updated
Aug 8, 2018 - HTML
Tutorial on VAR models + regularization
Personal Website
Abstract: The S&P500 is difficult to predict. Multi-factor models provide a useful framework for making returns predictions and for controlling portfolio risk. This paper explores a three-step process in predicting PCA and Autoencoders factors to generate multi-factor models from the S&P500 component securities.
This repository contains several smaller projects and tutorials that I've created for fun about time series analysis in R.
R package to estimate time-varying coefficient regressions
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