thesis
Forecasting Financial Time Series Using Model Averaging
- Publication date
- 23 November 2007
- Publisher
- In almost all cases a decision maker cannot
identify ex ante the true process. This observation has led
researchers to introduce several sources of uncertainty in
forecasting exercises. In this context, the research reported in
these pages finds an increase of forecasting power of financial time
series when parameter uncertainty, model uncertainty and optimal
decision making are included. The research contained herein evidences
that although the implementation of these techniques is not often
straightforward and it depends on the exercise studied, the
predictive gains are statistically and economically
significant over different applications, such as stock, bond and
electricity
markets.