Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion

DOI10.1142/9789811202391_0006zbMath1454.91252OpenAlexW3080307602MaRDI QIDQ5139386

Cheng-Few Lee, Hsiao-Yin Chen, Deng-Yuan Ji

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0006

zbMATH Keywords

outlier detectioninterventionerror correction modelMAPEARIMA-GARCH modeltransfer function modelRMSEcombination forecasting modelturning point method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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