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| Author: | Billio, M. Sartore, D. Toffano, C. |
| Title: | Combining forecasts: some results on exchange and interest rates |
| Journal: | The European Journal of Finance
2000 : JUN, VOL. 6:2, p. 126-145 |
| Index terms: | Interest rates Exchange rates Economic forecasting Mathematical models Neural networks |
| Freeterms: | Fuzzy logic Chaotic dynamics Switching regime GARCH models |
| Language: | eng |
| Abstract: | In the last few decades many methods of forecasting economic and financial quantities have become available. Many studies have shown that combinations of forecasts often outperform a single combined forecast. The aim of this work is to investigate whether the combination of forecasts plays an important role in the improvement of forecast accuracy, and to revise a short-term econometric forecast using a longer-term forecast. Daily data from the financial markets is used. |
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