Robustify Financial Time Series Forecasting with Bagging

• Main Authors: JIN, Sainan, SU, Liangjun, ULLAH, Aman
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Bagging; Combined forecasts; Nonparametric Models; Predictability; Time Series; Econometrics
• 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
• Institution: Singapore Management University

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...