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An occurrence based regime switching model to improve forecasting.
- Source :
- Management Decision; 2014, Vol. 52 Issue 7, p1255-1262, 8p
- Publication Year :
- 2014
-
Abstract
- Purpose – The purpose of this paper is to propose an occurrence-based model to improve the forecasting of regime switches so as to assist decision making. Design/methodology/approach – This paper proposes a novel model where occurrences of relationships are taken into account when forecasting. Taiwan Stock Exchange Capitalization Weighted Stock Index is taken as the forecasting target. Findings – Due to the consideration of occurrences of relationships in forecasting, the out of sample forecasting is improved. Practical implications – The proposed model can be applied to forecast other time series for regime switches. In addition, it can be integrated with other time series models to improve forecasting performance. Originality/value – The empirical results show that the proposed model can improve the forecasting performance. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00251747
- Volume :
- 52
- Issue :
- 7
- Database :
- Complementary Index
- Journal :
- Management Decision
- Publication Type :
- Academic Journal
- Accession number :
- 99128205
- Full Text :
- https://doi.org/10.1108/MD-11-2012-0787