G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15917
DP15917 Conditional Rotation Between Forecasting Models
Yinchu Zhu; Henry Allan Timmermann
发表日期2021-03-14
出版年2021
语种英语
摘要We establish conditions under which forecasting performance can be improved by rotating between a set of underlying forecasts whose predictive accuracy is tracked using a set of time-varying monitoring instruments. We characterize the properties that the monitoring instruments must possess to be useful for identifying, at each point in time, the best forecast and show that these reflect both the accuracy of the predictors used by the underlying forecasting models and the strength of the monitoring instruments. Finite-sample bounds on forecasting performance that account for estimation error are used to compute the expected loss of the competing forecasts as well as for the dynamic rotation strategy. Finally, using Monte Carlo simulations and empirical applications to forecasting inflation and stock returns, we demonstrate the potential gains from using conditioning information to rotate between forecasts
主题Financial Economics
关键词Forecasting performance Real time monitoring Finite sample bounds
URLhttps://cepr.org/publications/dp15917
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/544909
推荐引用方式
GB/T 7714
Yinchu Zhu,Henry Allan Timmermann. DP15917 Conditional Rotation Between Forecasting Models. 2021.
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