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

DOI10.1016/J.EJOR.2005.08.019zbMATH Open1109.90321OpenAlexW2049772220MaRDI QIDQ852971FDOQ852971

Michael K. Lim, So Young Sohn

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)

Cites Work

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

Cited In (3)

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

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