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A multivariate analysis approach to forecasts combination. Application to Foreign Exchange (FX) markets

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IIT-11-141A.pdf (336.0Kb)
Date
2011-06-01
Author
Maté Jiménez, Carlos
Estado
info:eu-repo/semantics/publishedVersion
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Abstract
 
 
Forecasting is characterized by the availability of a lot of methods and the fact that technological and economic forecast horizons are increasingly more different from each other. Combining forecasts is an adequate methodology for handling the above scenario, which is conceptually suitable for the application of several methods of multivariate analysis. This paper reviews some main problems in combining forecasts efficiently from the multivariate analysis view. In particular, a methodology to produce combined forecasts with a large number of forecasts is proposed. The usefulness of such a methodology is assessed in exchange rates forecasting. Further research is suggested for finance as well as for other practical contexts such as energy markets.
 
URI
http://hdl.handle.net/11531/5104
A multivariate analysis approach to forecasts combination. Application to Foreign Exchange (FX) markets
Tipo de Actividad
Artículos en revistas
ISSN
0120-1751
Materias/ categorías / ODS
Instituto de Investigación Tecnológica (IIT)
Palabras Clave

Combining forecasting, Factor analysis, Forecasting methodology, Principal components analysis, Time series.
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