Univariate forecasting comparisons: the case of the Spanish automobile industry
Article Abstract:
The predictive performance of two unobserved component models, namely, the trend model and the periodic or seasonal model, is compared with ARIMA models. The models are applied to the forecasting of Spanish automobile sales. Five forecasting measures are used, namely, the one-step-ahead percentage forecasting error, the aggregate percentage prediction error, the percentage root mean squared error, the percentage mean absolute error and the percentage mean error. No model is found to dominate the others, although the dynamic harmonic regression model under the periodic or seasonal model was seldom the worst option in the short and medium runs.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1997
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Predicting stock index volatility: can market volume help?
Article Abstract:
Various statistical models are evaluated and compared to determine whether stock market volume can predict stock index volatility. An aggregate of all the stocks on the New York Stock Exchange are used. When measures of lagged market volume are added to the models of stock index volatility there are very few improvements in forecasting performance.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1998
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Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting
Article Abstract:
A new method for forecasting time series is proposed, based on using bicorrelations and cross-bicorrrelations as nob-linearity tests and focusing on exchange rate returns.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001
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