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| Tekijä: | Preminger, A. Ben-Zion, U. Wettstein, D. |
| Otsikko: | Extended switching regression models with time-varying probabilities for combining forecasts |
| Lehti: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 455-472 |
| Asiasana: | economic forecasting regression analysis methodology probability securities volatility models |
| Kieli: | eng |
| Tiivistelmä: | A new methodology extending the well-known switching regression model (here as: s-r-m.) is introduced using several latent state variables. This model is called the time varying extended switching regression (TV-ESR) model which is used to combine volatility forecasts of several currencies (GBP/USD, JPY/USD and CHF/USD). A detailed comparison of the forecasts generated by the TV-ESR approach is made with those of traditional and other linear combining procedures derived from the s-r-m. Results indicate that the use of this new method yields overall better forecasts than those generated by competing models. |
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