Optimal forecasting accuracy using Lp-norm combination

DOI10.1007/S40300-021-00218-5OpenAlexW3195879769MaRDI QIDQ2168554FDOQ2168554

Massimiliano Giacalone

Publication date: 31 August 2022

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-021-00218-5

zbMATH Keywords

GARCH modelsfinancial time seriesforecast combinationgeneralized error distributionLp-norm estimators

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Is there an optimal forecast combination?
• Generalized autoregressive conditional heteroscedasticity
• Properties and estimation of asymmetric exponential power distribution
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Optimal forecast combinations under general loss functions and forecast error distributions
• Prediction with a Generalized Cost of Error Function
• Pooling of forecasts
• The linear regression model: L_pnorm estimation and the choice of p
• Nonuniqueness of least absolute values regression
• A note on linear combination of predictors
• Statistical Distributions
• Cointegration models with non Gaussian GARCH innovations
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Model-based fuzzy time series clustering of conditional higher moments
• Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
• A generalized error distribution copula-based method for portfolios risk assessment
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling

Cited In (1)

• Title not available (Why is that?)

Uses Software

• normalp
• Rugarch
• ForecastComb

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