Since 2014
Financial Time Series Analysis by Using MATLAB
Asian Business Research
View Archive Info| Field | Value | |
| Title |
Financial Time Series Analysis by Using MATLAB
|
|
| Creator |
Zheng, Xinyuan
|
|
| Description |
This report contains two parts. For part A, performing a Principle Components Analysis (PCA) and analyzing the drivers. Then, carrying out factor analyses and comparing them. For part B, employing 5 different quantitative models to forecast and generate moving origin horizon one forecasts of both return and volatility. Then, figuring out the optimal weights for the portfolio and assigning the optimal portfolio. Finally, comparing the returns and risk measure from all portfolio and models.
|
|
| Publisher |
July Press Pte. Ltd.
|
|
| Contributor |
—
|
|
| Date |
2019-10-08
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
http://journal.julypress.com/index.php/abr/article/view/687
10.20849/abr.v4i3.687 |
|
| Source |
Asian Business Research; Vol 4, No 3 (2019); p48
2424-8983 2424-8479 |
|
| Language |
eng
|
|
| Relation |
http://journal.julypress.com/index.php/abr/article/view/687/506
|
|
| Rights |
Copyright (c) 2019 Xinyuan Zheng
http://creativecommons.org/licenses/by/4.0 |
|