Forecasting the Polish Zloty with Non-Linear Models
نویسندگان
چکیده
منابع مشابه
Forecasting economic and financial time-series with non-linear models
In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in fav...
متن کاملon the effect of linear & non-linear texts on students comprehension and recalling
چکیده ندارد.
15 صفحه اولForecasting Stock Market Volatility Using (Non-Linear) Garch Models
In this papeT we study the performance of the GARCH model and two of its non-linear modifications to forecast weekly stock market volatility. The models are the Quadratic GARCH (Engle and Ng. 1993) and the Glosten. Jagannathan and Runkle (1992) models which have been proposed to describe, for example, the often observed negative skewness in stock market indices. We find that the QGARCH model is...
متن کاملDynamic generalized linear models for non-Gaussian time series forecasting
The purpose of this paper is to provide a discussion, with illustrating examples, on Bayesian forecasting for dynamic generalized linear models (DGLMs). Adopting approximate Bayesian analysis, based on conjugate forms and on Bayes linear estimation, we describe the theoretical framework and then we provide detailed examples of response distributions, including binomial, Poisson, negative binomi...
متن کاملForecasting with non-homogeneous hidden Markov models
We present a Bayesian forecasting methodology of discrete-time finite statespace hidden Markov models with non-constant transition matrix that depends on a set of exogenous covariates. We describe an MCMC reversible jump algorithm for predictive inference, allowing for model uncertainty regarding the set of covariates that affect the transition matrix. We apply our models to interest rates and ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1804011