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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. doi:10.1016/j.ijforecast.2003.10.004
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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 | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
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Journal or Publication Title: | INTERNATIONAL JOURNAL OF FORECASTING | ||||
Publisher: | ELSEVIER SCIENCE BV | ||||
ISSN: | 0169-2070 | ||||
Official Date: | April 2004 | ||||
Dates: |
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Volume: | 20 | ||||
Number: | 2 | ||||
Number of Pages: | 15 | ||||
Page Range: | pp. 169-183 | ||||
DOI: | 10.1016/j.ijforecast.2003.10.004 | ||||
Publication Status: | Published |
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