Overview and Comparison of Short-term Interval Models for Financial Time Series Forecasting

overview and comparison of short-term interval models for financial time series forecasting

in recent years, various time series models have been proposed for financial markets forecasting. in each case, the accuracy of time series forecasting models are fundamental to make decision and hence the research for improving the effectiveness of forecasting models have been curried on. many researchers have compared different time series models together in order to determine more efficient ...

Short-Term Forecasting with ARIMA Time Series Models

Which Methodology is Better for Combining Linear and Nonlinear Models for Time Series Forecasting?

Both theoretical and empirical findings have suggested that combining different models can be an effective way to improve the predictive performance of each individual model. It is especially occurred when the models in the ensemble are quite different. Hybrid techniques that decompose a time series into its linear and nonlinear components are one of the most important kinds of the hybrid model...

Modeling and forecasting interval time series with threshold models

The analyses, opinions and fi ndings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal or the Eurosystem Abstract Over recent years several methods to deal with high-frequency data (economic, …nancial and other) have been proposed in the literature. An interesting example is for instance interval-valued time series described by the tempo...

Forecasting economic and financial time-series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in fav...