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When estimating process on financial time series, the usual method is to postulate the equations for the process and to estimate the parameter values for each time series. The implicit assumption is that the equations are universal (i.e. identical for all assets), while the parameters are...
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In 1982, the Journal of Forecasting published the results of a forecasting competition organized by Spyros Makridakis …
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The M3-Competition continues to improve the design of forecasting competitions: It examines more series than any … previous competition, improves error analyses and includes commercial forecasting programs as competitors. To judge where to go …
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