Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"forecast combination"”.
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Forecast combination in revenue management demand forecasting.
The domain of multi level forecast combination is a challenging new domain containing a large potential for forecast improvements. This thesis presents a theoretical and experimental analysis of different types of forecast diversification on forecast error covariances and resulting combined …
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Essays in Hierarchical Time Series Forecasting and Forecast Combination
… of three original contributions to empirical forecasting research. Chapter 1 introduces the dissertation. Chapter 2 contributes to the literature on hierarchical time series (HTS) modelling by proposing a disaggregated forecasting system for both inflation rate and its volatility. Using …
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Volatility and return forecasting : time series and options-based methods
This thesis attempts to model and forecast returns and realized volatility using two different methods: time series models that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and …
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Improving the Accuracy of Outlook Price Forecasts: An Application to Livestock Markets
… performance and economic value of public outlook forecasts has been of continuing interest to agricultural economists and market participants. This dissertation provide new and powerful evidence on the performance of outlook forecasts relative to futures prices in hog and cattle markets over the …
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Forecasting exchange rates : an empirical investigation of advanced, emerging and frontier market economies
… is to investigate the application of different forecasting methods to predict the exchange rates of advanced, emerging and frontier market economies. To date, research on forecasting exchange rates has tended to focus mostly on advanced economies. Little attention has been paid on emerging and …
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Combinations of time series forecasts: when and why are they beneficial?.
Time series forecasting has a long track record in many application areas. In forecasting research, it has been illustrated that finding an individual algorithm that works best for all possible scenarios is hopeless. Therefore, instead of striving to design a single superior algorithm, current …
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Asymmetric Loss Functions and Combination of Forecasts with Applications in Equity Premium Prediction
Combination of forecasts methods has arisen and emerged as a significant and best approach to produce the effective forecasts in average and to extract important and valuable information from the models rather than methods focused on selecting the best individual forecasts. The combination of …
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Modeling and forecasting international credit risk : the case of sovereign loans
… However, simplicity beats complexity in terms of forecasting. Simple pooled logit parameterization, that control either for regional heterogeneity or for time effects produce the most accurate forecasts and outperform several naive predictors. Chapter 3 investigates the severity of the …