Different approaches to forecast interval time series: a comparison in finance
DOI10.1007/S10614-010-9230-2zbMATH Open1206.91087OpenAlexW2078301133MaRDI QIDQ625643FDOQ625643
Carlos Maté, Javier Arroyo, Rosa Espínola
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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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)
Cites Work
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- 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 (16)
- A two-step method for interpolating interval data based on cubic Hermite polynomial models
- 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
- Modeling the Variance of Return Intervals Toward Volatility Prediction
- Analysis of dependent data aggregated into intervals
- Model averaging for interval-valued data
- Combining Interval Time Series Forecasts. A First Step in a Long Way (Research Agenda)
- 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 and forecasting interval time series with threshold models
- Carbon price interval prediction method based on probability density recurrence network and interval multi-layer perceptron
- 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
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