Robustify Financial Time Series Forecasting with Bagging
In this paper we propose a revised version of (bagging) bootstrap aggregating as a forecast combination method for the out-of-sample forecasts in time series models. The revised version explicitly takes into account the dependence in time series data and can be used to justify the validity of baggin...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1428 https://ink.library.smu.edu.sg/context/soe_research/article/2427/viewcontent/RobustifyFinancialTimeSeriesForecastingBagging_2014.pdf |
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| Institution: | Singapore Management University |
| Language: | English |