Álvarez-Díaz, Marcos; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
walk (RW), autoregressive (AR) and seasonally-adjusted autoregressive moving average (SARIMA)) and nonlinear (artificial … neural network (ANN) and genetic programming (GP)) univariate models. Our results show that, while the SARIMA model is … forecasting gains are not significant relative to higher-order AR and nonlinear models, though simple benchmarks like the RW and …