11-007/4 - Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression

• Authors
  Peter Exterkate, Erasmus University Rotterdam; Patrick J.F. Groenen, Erasmus University Rotterdam; Christiaan Heij, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  January 11, 2011

• Keywords
  High dimensionality, nonlinear forecasting, ridge regression, kernel methods
• JEL
  C53, C63, E27