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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

PCA predictive power.

December 16th, 2010, 10:21 pm

There seems to be a lot of work done on PCA modeling of crude oil futures. Any ideas on how robust the method is , I have used it in the past but did not get much luck with it.I think its an ok contemporaneous method but one that has less predictive power, I am interested in forecasting the dynamics of the the entire curve in time. Any ideas much appreciated.
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