Robustify financial time series forecasting with bagging
DOI10.1080/07474938.2013.825142zbMATH Open1491.62159OpenAlexW2027965814MaRDI QIDQ5080461FDOQ5080461
Authors: Sainan Jin, Liangjun Su, Aman Ullah 
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1428
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Heuristics of instability and stabilization in model selection
- Bagging predictors
- Least-squares forecast averaging
- Automatic Block-Length Selection for the Dependent Bootstrap
- On bagging and nonlinear estimation
- Analyzing bagging
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Handbook of economic forecasting. Volume 1
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- Title not available (Why is that?)
- Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
- Title not available (Why is that?)
- Data-driven bandwidth choice for density estimation based on dependent data
- Bagging binary and quantile predictors for time series
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
Cited In (8)
- A semiparametric generalized ridge estimator and link with model averaging
- Jackknife model averaging for quantile regressions
- Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting
- The benefits of bagging for forecast models of realized volatility
- Jackknife model averaging for composite quantile regression
- Penalized Mallow’s model averaging
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Time-varying model averaging
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