Different approaches to forecast interval time series: a comparison in finance

DOI10.1007/S10614-010-9230-2zbMATH Open1206.91087OpenAlexW2078301133MaRDI QIDQ625643FDOQ625643

Authors: Javier Arroyo, Rosa Espínola, Carlos Maté 

Publication date: 25 February 2011

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9230-2

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zbMATH Keywords

artificial neural networksvector autoregressive modelsinterval arithmeticinterval dataexponential smoothingnearest neighbors methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Time series forecasting using a hybrid ARIMA and neural network model
• Introduction to Interval Analysis
• Interval time series analysis with an application to the sterling-dollar exchange rate
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
• An application of interval methods to stock market forecasting
• Forecasting Trends in Time Series

Cited In (20)

• A two-step method for interpolating interval data based on cubic Hermite polynomial models
• An application of interval methods to stock market forecasting
• A method of preliminary forecasting of time series of financial data
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Forecasting interval-valued crude oil prices using asymmetric interval models
• Analysis of dependent data aggregated into intervals
• Model averaging for interval-valued data
• Threshold autoregressive models for interval-valued time series data
• Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
• Regression model for interval-valued variables based on copulas
• An exploratory data analysis in scale-space for interval-valued data
• Modeling the variance of return intervals toward volatility prediction
• Modeling and forecasting interval time series with threshold models
• Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron
• Combining interval time series forecasts. A first step in a long way (research agenda)
• A pseudo principal component analysis method for multi-dimensional open-high-low-close data in candlestick chart
• Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series
• Forecasting research of financial time series based on interval data
• Forecasting financial time big data using interval time series
• Exploring long-memory process in the prediction of interval-valued financial time series and its application

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