Brasseur, Carine; Espinoza, Marcelo; Suykens, Johan A. K.; … - In: Journal of Forecasting 25 (2006) 2, pp. 77-100
The use of linear error correction models based on stationarity and cointegration analysis, typically estimated with least squares regression, is a common technique for financial time series prediction. In this paper, the same formulation is extended to a nonlinear error correction model using...
