An Alternative Methodology for Combining Different Forecasting Models

DOI10.1080/02664760701231633zbMATH Open1156.62351OpenAlexW1993928054MaRDI QIDQ3604103FDOQ3604103

Authors: Haritini Tsangari 

Publication date: 24 February 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760701231633

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zbMATH Keywords

heteroskedasticityGARCH modelsnonparametric methodsneural networkscombination methodskernel regression forecasting criteria

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Neural nets and related approaches to inference from stochastic processes (62M45)

Cites Work

• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• A new look at the statistical model identification
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Distribution of Realized Exchange Rate Volatility
• On a measure of lack of fit in time series models
• Modeling and Forecasting Realized Volatility
• Modelling the persistence of conditional variances
• Common Persistence in Conditional Variances
• Neural networks: A review from a statistical perspective. With comments and a rejoinder by the authors
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Title not available (Why is that?)
• Managerial Applications of Neural Networks: The Case of Bank Failure Predictions
• Nonparametric ANCOVA with two and three covariates

Cited In (2)

• Title not available (Why is that?)
• Combining different models

Uses Software

• R
• S-PLUS
• SAS/ETS

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