Hierarchical forecasting based on AR-GARCH model in a coherent structure

DOI10.1016/J.EJOR.2005.08.019MaRDI QIDQ852971zbMATH OpenOpenAlexFDO

Authors So Young Sohn, Michael K. Lim

Publication date 15 November 2006

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2005.08.019

zbMATH Keywords

hierarchical forecastingcoherent structureAR-Garch modelDow Jones industrial average

Mathematics Subject Classification ID

Marketing, advertising (90B60)

Recommendations

• Integrated hierarchical forecasting
• Optimal combination forecasts for hierarchical time series
• Forecasting with temporal hierarchies
• Hierarchical estimation as a basis for hierarchical forecasting
• Calculating the accuracy of hierarchical estimation

Cites work

• An investigation of aggregate variable time series forecast strategies with specific subaggregate time series statistical correlation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• Stable GARCH models for financial time series

Cited in

(3)

• Integrated hierarchical forecasting
• Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
• Robust inference in AR-G/GARCH models under model uncertainty

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