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A combination method for interval forecasting of agricultural commodity futures prices

机译:农产品期货价格区间预测的组合方法

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摘要

Accurate interval forecasting of agricultural commodity futures prices over future horizons is challenging and of great interests to governments and investors, by providing a range of values rather than a point estimate. Following the well-established "linear and nonlinear" modeling framework, this study extends it to forecast interval-valued agricultural commodity futures prices with vector error correction model (VECM) and multi-output support vector regression (MSVR) (abbreviated as VECM-MSVR), which is capable of capturing the linear and nonlinear patterns exhibited in agricultural commodity futures prices. Two agricultural commodity futures prices from Chinese futures market are used to justify the performance of the proposed VECM-MSVR method against selected competitors. The quantitative and comprehensive assessments are performed and the results indicate that the proposed VECM-MSVR method is a promising alternative for forecasting interval-valued agricultural commodity futures prices. (C) 2015 Elsevier B.V. All rights reserved.
机译:通过提供一系列值而不是点估计值,准确预测未来范围内农产品期货价格的间隔是具有挑战性的,并且对政府和投资者都具有重大意义。遵循公认的“线性和非线性”建模框架,本研究将其扩展到使用矢量误差校正模型(VECM)和多输出支持矢量回归(MSVR)(缩写为VECM-MSVR)来预测区间值的农产品期货价格),它能够捕获农产品期货价格中显示的线性和非线性模式。来自中国期货市场的两个农产品期货价格被用来证明所提出的VECM-MSVR方法相对于选定竞争对手的性能。进行了定量和综合评估,结果表明,提出的VECM-MSVR方法是预测区间值农产品期货价格的有前途的替代方法。 (C)2015 Elsevier B.V.保留所有权利。

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