How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns

DOI10.1080/14697688.2017.1351619zbMath1400.91661OpenAlexW3122526880MaRDI QIDQ4554414

Massimo Guidolin, A. G. Orlov, Manuela Pedio

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1351619

zbMATH Keywords

heuristicsforecastingbehavioural financeinvestor attentionpredictive regressionsinformation demandGoogle search volume indexweb-search-based forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Uses Software

• R
• MCS

Cites Work

• The Model Confidence Set
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

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