Quantile forecast combination using stochastic dominance

dc.WoS.categoriesEconomics; Social Sciences, Mathematical Methodsen_US
dc.contributor.authorYazgan, Ege
dc.date.accessioned2020-05-22T09:05:02Z
dc.date.available2020-05-22T09:05:02Z
dc.date.issued2018-12-01
dc.description.abstractThis paper derives optimal forecast combinations based on stochastic dominance efficiency (SDE) analysis with differential forecast weights for different quantiles of forecast error distribution. For the optimal forecast combination, SDE will minimize the cumulative density functions of the levels of loss at different quantiles of the forecast error distribution by combining different time-series model-based forecasts. Using two exchange rate series on weekly data for the Japanese yen/US dollar and US dollar/Great Britain pound, we find that the optimal forecast combinations with SDE weights perform better than different forecast selection and combination methods for the majority of the cases at different quantiles of the error distribution. However, there are also some very few cases where some other forecast selection and combination model performs equally well at some quantiles of the forecast error distribution. Different forecasting period and quadratic loss function are used to obtain optimal forecast combinations, and results are robust to these choices. The out-of-sample performance of the SDE forecast combinations is also better than that of the other forecast selection and combination models we considered.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.1007/s00181-017-1343-1
dc.identifier.issn1435-8921
dc.identifier.issn0377-7332
dc.identifier.pmid30930528en_US
dc.identifier.scopus2-s2.0-85031428841en_US
dc.identifier.urihttps://hdl.handle.net/11411/2063
dc.identifier.urihttps://doi.org/10.1007/s00181-017-1343-1
dc.identifier.wosWOS:000450490100013en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakPubMeden_US
dc.issue4en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors3en_US
dc.pages1717-1755en_US
dc.publisherPHYSICA-VERLAG GMBH & COen_US
dc.relation.ispartofEMPIRICAL ECONOMICSen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectNonparametric stochastic dominanceen_US
dc.subjectMixed integer programmingen_US
dc.subjectForecast combinationsen_US
dc.titleQuantile forecast combination using stochastic dominance
dc.typeArticle
dc.volume55en_US

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