Combining Interval Time Series Forecasts. A First Step in a Long Way (Research Agenda)
DOI10.15446/rce.v44n1.85116zbMath1470.62132OpenAlexW3149051878MaRDI QIDQ5009664
Publication date: 5 August 2021
Published in: Revista Colombiana de Estadística (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15446/rce.v44n1.85116
financial marketsefficient market hypothesisforecast combinationrandom walk modelequal weightsoptimal weight
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) Economic time series analysis (91B84) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)
Uses Software
Cites Work
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