Combining time series models for forecasting

Citations

Cited by:

1. Kolassa, Stephan, 2011. "Combining exponential smoothing forecasts using Akaike weights," International Journal of Forecasting, Elsevier, vol. 27(2), pages 238-251, April.
2. Carlo Altavilla & Matteo Ciccarelli, 2006. "Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the US and the Euro Area," Discussion Papers 7_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
   • Matteo Ciccarelli & Carlo Altavilla, 2007. "Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the US and the Euro area," 2007 Meeting Papers 315, Society for Economic Dynamics.
   • Ciccarelli, Matteo & Altavilla, Carlo, 2007. "Inflation Forecasts, monetary policy and unemployment dynamics: evidence from the US and the euro area," Working Paper Series 725, European Central Bank.
3. Bessec, Marie & Fouquau, Julien, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," European Journal of Operational Research, Elsevier, vol. 264(1), pages 149-164.
   • Marie Bessec & Julien Fouquau, 2018. "Short-run electricity load forecasting with combinations of stationary wavelet transforms," Post-Print hal-01644930, HAL.
4. Cang, Shuang & Yu, Hongnian, 2014. "A combination selection algorithm on forecasting," European Journal of Operational Research, Elsevier, vol. 234(1), pages 127-139.
5. Gang Cheng & Sicong Wang & Yuhong Yang, 2015. "Forecast Combination under Heavy-Tailed Errors," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
6. Amiri, Arshia & Bakhshoodeh, Mohamad & Najafi, Bahaeddin, 2011. "Forecasting seasonality in prices of potatoes and onions: challenge between geostatistical models, neuro fuzzy approach and Winter method," MPRA Paper 34093, University Library of Munich, Germany.
7. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
8. Marie Bessec & Julien Fouquau & Sophie Meritet, 2016. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Applied Economics, Taylor & Francis Journals, vol. 48(5), pages 361-378, January.
   • Marie Bessec & Julien Fouquau & Sophie Méritet, 2014. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Post-Print hal-01502835, HAL.
   • Marie Bessec & Julien Fouquau & Sophie Meritet, 2016. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Post-Print hal-01276807, HAL.
   • Marie Bessec & Julien Fouquau & Sophie Meritet, 2014. "Forecasting electricity spot prices using time-series models with a double temporal segmentation," Working Papers 2014-588, Department of Research, Ipag Business School.
9. A.S.M. Arroyo & A. de Juan Fern¨¢ndez, 2014. "Split-then-Combine Method for out-of-sample Combinations of Forecasts," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 3(1), pages 19-37, April.
10. Cheng, Gang & Yang, Yuhong, 2015. "Forecast combination with outlier protection," International Journal of Forecasting, Elsevier, vol. 31(2), pages 223-237.
11. Paulo Rodrigues & Nazarii Salish, 2015. "Modeling and forecasting interval time series with threshold models," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(1), pages 41-57, March.
12. repec:dau:papers:123456789/13532 is not listed on IDEAS
13. Van Belle, Jente & Crevits, Ruben & Verbeke, Wouter, 2023. "Improving forecast stability using deep learning," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1333-1350.
14. D’Elia Enrico, 2014. "Predictions vs. Preliminary Sample Estimates: The Case of Eurozone Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 30(3), pages 499-520, September.
    • Enrico D'Elia, 2014. "Predictions vs. preliminary sample estimates: the case of eurozone quarterly GDP," Working Papers 2, Department of the Treasury, Ministry of the Economy and of Finance.
15. Theodosiou, Marina, 2011. "Forecasting monthly and quarterly time series using STL decomposition," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1178-1195, October.
16. Alexander Vosseler & Enzo Weber, 2018. "Forecasting seasonal time series data: a Bayesian model averaging approach," Computational Statistics, Springer, vol. 33(4), pages 1733-1765, December.
17. Jingwei Li & Choon-Ling Sia & Zhuo Chen & Wei Huang, 2021. "Enhancing Influenza Epidemics Forecasting Accuracy in China with Both Official and Unofficial Online News Articles, 2019–2020," IJERPH, MDPI, vol. 18(12), pages 1-13, June.
18. Jorge Barrientos Marin & Elkin Tabares Orozco & Esteban Velilla, 2018. "Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 97-106.
19. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
20. Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
    • Liu, Chu-An & Kuo, Biing-Shen, 2014. "Model Averaging in Predictive Regressions," MPRA Paper 54198, University Library of Munich, Germany.
21. William E. Griffiths & Duangkamon Chotikapanich & D. S. Prasada Rao, 2005. "Averaging Income Distributions," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 347-367, October.
    • Chotikapanich, D. & Griffiths, W.E. & Rao, D.S.P., 2001. "Averaging Income Distributions," Department of Economics - Working Papers Series 798, The University of Melbourne.
22. Ana Angulo & F. Trívez, 2010. "The impact of spatial elements on the forecasting of Spanish labour series," Journal of Geographical Systems, Springer, vol. 12(2), pages 155-174, June.
23. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    • Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
24. Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
25. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    • Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
26. Zhenni Ding & Huayou Chen & Ligang Zhou, 2023. "Using shapely values to define subgroups of forecasts for combining," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 905-923, July.
27. Qian, Wei & Rolling, Craig A. & Cheng, Gang & Yang, Yuhong, 2022. "Combining forecasts for universally optimal performance," International Journal of Forecasting, Elsevier, vol. 38(1), pages 193-208.
28. Andreas Lindemann & Christian Dunis & Paulo Lisboa, 2005. "Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 459-474.
29. D'Elia, Enrico, 2010. "Predictions vs preliminary sample estimates," MPRA Paper 36070, University Library of Munich, Germany.
30. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
31. Maia, André Luis Santiago & de Carvalho, Francisco de A.T., 2011. "Holt’s exponential smoothing and neural network models for forecasting interval-valued time series," International Journal of Forecasting, Elsevier, vol. 27(3), pages 740-759.
32. Sánchez, Ismael, 2008. "Adaptive combination of forecasts with application to wind energy," International Journal of Forecasting, Elsevier, vol. 24(4), pages 679-693.
33. Ron Bird & Richard Gerlach, 2006. "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(2), pages 111-127, August.
34. José V. Segura-Heras & José D. Bermúdez & Ana Corberán-Vallet & Enriqueta Vercher, 2022. "Analysis of Weighting Strategies for Improving the Accuracy of Combined Forecasts," Mathematics, MDPI, vol. 10(5), pages 1-12, February.
35. Ciccarelli, Matteo & Altavilla, Carlo, 2007. "Information combination and forecast (st)ability evidence from vintages of time-series data," Working Paper Series 846, European Central Bank.
36. José Antonio Camuñez Ruiz & Germán Ramos Campos, 2024. "Analysis of temporal evolution of tourist visits to the region of Morón de la Frontera (Spain). Two possible explanatory variables of this evolution," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(2), pages 17-31.
37. Peter Kacmary & Andrea Rosova & Marian Sofranko & Peter Bindzar & Janka Saderova & Jan Kovac, 2021. "Creation of Annual Order Forecast for the Production of Beverage Cans—The Case Study," Sustainability, MDPI, vol. 13(15), pages 1-14, July.
38. Kolassa, Stephan, 2011. "Combining exponential smoothing forecasts using Akaike weights," International Journal of Forecasting, Elsevier, vol. 27(2), pages 238-251.
39. Stavroula P. Fameliti & Vasiliki D. Skintzi, 2020. "Predictive ability and economic gains from volatility forecast combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 200-219, March.
40. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
41. Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
42. Gustavo A. Marrero, 2007. "Traditional versus unobserved components methods to forecast quarterly national account aggregates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 129-153.
43. Antonio Bello & Derek Bunn & Javier Reneses & Antonio Muñoz, 2016. "Parametric Density Recalibration of a Fundamental Market Model to Forecast Electricity Prices," Energies, MDPI, vol. 9(11), pages 1-15, November.
44. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
45. Maia, André Luis Santiago & de Carvalho, Francisco de A.T., 2011. "Holt's exponential smoothing and neural network models for forecasting interval-valued time series," International Journal of Forecasting, Elsevier, vol. 27(3), pages 740-759, July.
46. Chen Zhuo & Yang Yuhong, 2007. "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(1), pages 1-37, March.
47. Mishra, G. C. & Singh, A., 2013. "A Study on Forecasting Prices of Groundnut Oil in Delhi by Arima Methodology and Artificial Neural Networks," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 5(3), pages 1-10, September.