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25 Years of IIF Time Series Forecasting: A Selective Review
Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...
Persistent link: https://www.econbiz.de/10005427625
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Forecasting the Price of Gold
Hassani, Hossein; Silva, Emmanuel Sirimal; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014
walk as we noticed that certain multivariate models (which included prices of silver, platinum, palladium and rhodium … forecasting horizons. Moreover, we find that the univariate models used in this paper are able to outperform the Bayesian … autoregression, and Bayesian vector autoregressive models, with exponential smoothing (ETS) reporting statistically significant …
Persistent link: https://www.econbiz.de/10010891026
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AGGREGATE SHOCKS DECOMPOSITION FOR EIGHT EAST ASIAN COUNTRIES
Lee, Grace H.Y. - Department of Econometrics and Business Statistics, … - 2009
Every economy experiences peaks and troughs in its business cycle. It has always been the researchers’ interests to identify the underlying causes of shocks. In the business cycle literature, there exists a new strand of methodology that allows the analysis at a disaggregated level using the...
Persistent link: https://www.econbiz.de/10005064163
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Forecasting the Price of Gold Using Dynamic Model Averaging
Aye, Goodness; Gupta, Rangan; Hammoudeh, Shawkat; Kim, … - Institut de Préparation à l'Administration et à la … - 2014
linear model (such as random walk) but also the Bayesian model averaging (BMA) model for examining possible predictors of the …
Persistent link: https://www.econbiz.de/10010891025