Forecasting an aggregate of cointegrated disaggregates

Article Abstract:

Research information regarding forecasting techniques and theories are outlined. One theory establishes conditions under which forecasts of an aggregate variable obtained from a disaggregate VECM will be equal to those from an aggregate, univariate time series model.

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Detection of Outliers and Level Shifts in Time Series: An evaluation of two alternative procedures

Article Abstract:

Research information in regards to detecting outliers and level shifts in time series are given. R.S. Tsay and N.S. Balke present a unified method to detect and handle innovational and additive ouliers, and permanent and transient level changes.

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Forecasting for the Generation of Trading Signals in Financial Markets

Article Abstract:

Financial forecasting research is outlined in this article. The research shows that optimal trading results can be achieved if we can forecast a key summary statistic of future prices.

Finance

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