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대용량 거시・금융 자료를 이용한 원/달러 환율 변동의 예측력 평가 (Forecasting Won/Dollar Exchange Rate Using Large Macroeconomic and Finance Data Set)
Jeon, Chanwoo
;
Park, Minji
;
Lee, Jiwon
;
Lee, Dong Jin
-
2022
Korean Abstract: 본고에서는 광범위한 국내외 정보 변수를 활용하여 선형 및 비선형 예측 기법을 통한 원/달러 환율 변동의 예측력을 평가하였다. 선형 기법으로는 능형 회귀, LASSO, Elastic-Net 과 동태 요인 모형을 사용하였고...
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