Hierarchical forecasting based on AR-GARCH model in a coherent structure

DOI10.1016/j.ejor.2005.08.019zbMath1109.90321OpenAlexW2049772220MaRDI QIDQ852971

So Young Sohn, Michael K. Lim

Publication date: 15 November 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.08.019

zbMATH Keywords

coherent structureAR-Garch modelDow Jones industrial averagehierarchical forecasting

Mathematics Subject Classification ID

Marketing, advertising (90B60)

Related Items (1)

Integrated hierarchical forecasting

Cites Work

• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• An investigation of aggregate variable time series forecast strategies with specific subaggregate time series statistical correlation
• Stable GARCH models for financial time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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