Ensembling Arimax Model in Algorithmic Investment Strategies on Commodities Market
ARIMAX/ARIMAX-Garch models are ineffective for making buy or sell decisions for selected commodity baskets, as per a study on four Invesco ETF funds.
Featured in No. 16 on 21 Sep 2023 · 1 day after release · 1 citation today
- Released
- 20 Sep 2023
- First featured
- No. 16 · 21 Sep 2023
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4577441
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).