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Comparison of forecasting methods with an application to predicting excess equity premium

机译:比较预测方法和预测超额股权溢价的应用

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摘要

This paper reviews various forecast methods including combination using theoretically optimal weights and those under model selection approaches. In addition, we suggest two modified simple averaging forecast combination methods—a mean corrected and a mean and scale corrected method. We conclude that due to the fact that real data is usually subject to structural breaks, rolling forecasting scheme has a better performance than fixed window and continuously updating scheme. In addition, methods that use less information appear to perform better than methods using all the sample information about the covariance structure of the available forecasts. The mean and scale corrected simple average approach yield smaller mean squared forecast error than the three widely used regression approaches suggested by Granger and Ramanathan [11].
机译:本文回顾了各种预测方法,包括使用理论上最佳权重的组合以及模型选择方法下的组合。此外,我们建议使用两种改进的简单平均预测组合方法-均值校正和均值和小数位数校正方法。我们得出结论,由于实际数据通常会受到结构性中断的影响,滚动预测方案的性能要优于固定窗口和连续更新方案。另外,使用较少信息的方法似乎比使用有关可用预测的协方差结构的所有样本信息的方法的性能更好。与Granger和Ramanathan提出的三种广泛使用的回归方法相比,均值和比例尺校正的简单平均方法产生的均方预报误差较小[11]。

著录项

  • 来源
    《Mathematics and computers in simulation》 |2011年第7期|p.1235-1246|共12页
  • 作者

    Cheng Hsiao; Shui Ki Wan;

  • 作者单位

    University of Southern California, United States,National University of Singapore, Singapore,WISE, Xiamen University, China;

    Hong Kong Baptist University, Hong Kong;

  • 收录信息
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    forecast combination;

    机译:预测组合;
  • 入库时间 2022-08-18 03:29:10

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