Forecasting Random Walks under Drift Instability
نویسندگان
چکیده
منابع مشابه
Forecasting Random Walks under Drift Instability∗
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over estimation windows leads to a lower b...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1112546