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	Comparison of forecasting methods with an application to predicting excess equity premium
	Hsiao, Cheng ; Wan, Shui Ki ; Xiao Z(萧政)
	2011-03
关键词	MODEL SELECTION COMBINATION REGRESSION
英文摘要	Conference Name:IMACS World Congress/Modelling and Simulation Society-of-Australia-and-New-Zealand (MSSANZ)/18th MODSIM09 Biennial Conference on Modelling and Simulation. Conference Address: Cairns, AUSTRALIA. Time:JUL 13-17, 2009.; 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]. (c) 2010 IMACS. Published by Elsevier B.V. All rights reserved.
语种	英语
出处	http://dx.doi.org/10.1016/j.matcom.2010.03.010
出版者	MATH COMPUT SIMULAT
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/85918]
专题	王亚南院－会议论文
推荐引用方式 GB/T 7714	Hsiao, Cheng,Wan, Shui Ki,Xiao Z. Comparison of forecasting methods with an application to predicting excess equity premium. 2011-03-01.

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