期刊
INTERNATIONAL JOURNAL OF FORECASTING
卷 32, 期 3, 页码 838-848出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ijforecast.2016.01.002
关键词
Forecast; Food prices; Equilibrium correction; Joint models; Breaks; Robust devices
Given the high correlations observed among food prices, we analyse whether the forecasting accuracies of individual food price models can be improved by considering their cross dependence. We focus on three strongly correlated food prices: corn, soybeans and wheat. We analyse an unstable forecasting period (2008-2014) and apply robust approaches and recursive schemes. Our results indicate forecast improvements from using models that include price interactions. (C) 2016 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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