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We hypothesized that multiplicative decomposition would improve accuracy only in certain conditions. In particular, we expected it to help for problems involving extreme and uncertain values. We first reanalyzed results from two published studies. Decomposition improved accuracy for nine...
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In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in …
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-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
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