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

DOI10.1080/14697688.2017.1351619zbMath1471.91539OpenAlexW3122526880MaRDI QIDQ4957235

Massimo Guidolin, A. G. Orlov, Manuela Pedio

Publication date: 3 September 2021

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 demandweb-search-based forecastsgoogle search volume index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Uses Software

• MCS

Cites Work

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