An Alternative Methodology for Combining Different Forecasting Models

DOI10.1080/02664760701231633MaRDI QIDQ3604103zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

combination methodsGARCH modelsheteroskedasticitykernel regression forecasting criterianeural networksnonparametric methods

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)

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Cites work

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• Common Persistence in Conditional Variances
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Estimating the dimension of a model
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 1357299 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Managerial Applications of Neural Networks: The Case of Bank Failure Predictions
• Modeling and Forecasting Realized Volatility
• Modelling the persistence of conditional variances
• Neural networks: A review from a statistical perspective. With comments and a rejoinder by the authors
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• On a measure of lack of fit in time series models
• The Distribution of Realized Exchange Rate Volatility

Cited in

(3)

• Combining different models
• scientific article; zbMATH DE number 3885170 (Why is no real title available?)
• An alternative method for forecasting price volatility by combining models

Describes a project that uses

Uses Software

• SAS/ETS
• S-PLUS
• R

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