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Unstable Weights in the Combination of Forecasts
Management Science, 1986The weights used in the combination of forecasts are shown to be very unstable. They are generally so unstable that the combined forecasts often do not perform better than some of the individual forecasts or a simple average of the forecasts in practice.
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Combining Global Antithetic Forecasts
International Transactions in Operational Research, 1995This paper provides a summary of the theory for antithetic forecasting, and an empirical exposition. An original forecast is combined with another forecast, produced from a time series which is antithetic (negatively correlated) to the original time series.
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2005
Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination schemes aimed at estimating the theoretically optimal ...
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Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominate more refined combination schemes aimed at estimating the theoretically optimal ...
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Stock market return predictability: A combination forecast perspective
International Review of Financial Analysis, 2022Jipeng Qi
exaly
Bayesian forecast combination using time-varying features
International Journal of Forecasting, 2023Li Li, Yanfei Kang, Feng Li
exaly
An extreme bias-penalized forecast combination approach to commodity price forecasting
Information Sciences, 2022Lean Yu, Shouyang Wang
exaly
Tourism forecast combination using the stochastic frontier analysis technique
Tourism Economics, 2020Ji Wu, Xian Cheng, Stephen Shaoyi Liao
exaly
Forecast combination for VARs in large N and T panels
International Journal of Forecasting, 2022Ryan Greenaway-Mcgrevy
exaly