منابع مشابه
Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts
In applied forecasting, there is a trade-off between in-sample fit and out-ofsample forecast accuracy. Parsimonious model specifications typically outperform richer model specifications. Consequently, there is often predictable information in forecast errors that is difficult to exploit. However, we show how this predictable information can be exploited in forecast combinations. In this case, o...
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ژورنال
عنوان ژورنال: Acta Mathematicae Applicatae Sinica, English Series
سال: 2005
ISSN: 0168-9673,1618-3932
DOI: 10.1007/s10255-005-0233-z