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Testing the value of directional forecasts in the presence of serial correlation

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Handbook of economic forecasting ; Volume 2

Elliott, Graham (ed.); Timmermann, Allan (ed.) - 2013 - 1. ed.

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...

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Stock prices prediction via tensor decomposition and links forecast

Spelta, Alessandro - 2016

critical shifts are usually associated with generic empirical phenomena such as strengthening correlations between entities …

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EXSSA : SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues

Papailias, Fotis; Thomakos, Dimitrios D. - In: International journal of forecasting 33 (2017) 1, pp. 214-229

Persistent link: https://www.econbiz.de/10011754701

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - 2008

confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts …

Persistent link: https://www.econbiz.de/10003796145