Forecasting financial time series with multiple kernel learning

Abstract

This paper introduces a forecasting procedure based on multivariate dynamic kernels to re-examine –under a non linear framework– the experimental tests reported by Welch and Goyal showing that several variables proposed in the academic literature are of no use to predict the equity premium under linear regressions. For this approach kernel functions for time series are used with multiple kernel learning in order to represent the relative importance of each of these variables.