期刊
INTERNATIONAL JOURNAL OF FORECASTING
卷 20, 期 2, 页码 169-183出版社
ELSEVIER
DOI: 10.1016/j.ijforecast.2003.10.004
关键词
economic; financial; non-linear models
this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain. (C) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
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