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Forecasting economic and financial time-series with non-linear models
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UNSPECIFIED (2004) Forecasting economic and financial time-series with non-linear models. INTERNATIONAL JOURNAL OF FORECASTING, 20 (2). pp. 169-183. ISSN 0169-2070
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2003.10.004
Abstract
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 favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain. (C) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
| Item Type: | Journal Item |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Journal or Publication Title: | INTERNATIONAL JOURNAL OF FORECASTING |
| Publisher: | ELSEVIER SCIENCE BV |
| ISSN: | 0169-2070 |
| Date: | April 2004 |
| Volume: | 20 |
| Number: | 2 |
| Number of Pages: | 15 |
| Page Range: | pp. 169-183 |
| Identification Number: | 10.1016/j.ijforecast.2003.10.004 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/8461 |
Data sourced from Thomson Reuters' Web of Knowledge
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