2022
DOI: 10.1108/s0731-90532021000043a005
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Multi-step Forecasting with Large Vector Autoregressions

Abstract: Time-series forecasting is a fundamental problem associated with a wide range of engineering, financial, and social applications. The challenge arises from the complexity due to the time-variant property of time series and the inevitable diminishing utility of predictive models. Therefore, it is generally difficult to accurately predict values, especially in a multi-step ahead setting. However, in domains such as financial time series forecasting, an ex-ante prediction of the relative order of values in the ne… Show more

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References 66 publications
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