An occurrence based regime switching model to improve forecasting

An occurrence based regime switching model to improve forecasting Purpose – The purpose of this paper is to propose an occurrence‐based model to improve the forecasting of regime switches so as to assist decision making. Design/methodology/approach – This paper proposes a novel model where occurrences of relationships are taken into account when forecasting. Taiwan Stock Exchange Capitalization Weighted Stock Index is taken as the forecasting target. Findings – Due to the consideration of occurrences of relationships in forecasting, the out of sample forecasting is improved. Practical implications – The proposed model can be applied to forecast other time series for regime switches. In addition, it can be integrated with other time series models to improve forecasting performance. Originality/value – The empirical results show that the proposed model can improve the forecasting performance. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Management Decision Emerald Publishing

An occurrence based regime switching model to improve forecasting

Management Decision, Volume 52 (7): 8 – Aug 12, 2014

Loading next page...
 
/lp/emerald-publishing/an-occurrence-based-regime-switching-model-to-improve-forecasting-0IaiM0L1z2
Publisher
Emerald Publishing
Copyright
Copyright © 2014 Emerald Group Publishing Limited. All rights reserved.
ISSN
0025-1747
DOI
10.1108/MD-11-2012-0787
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this paper is to propose an occurrence‐based model to improve the forecasting of regime switches so as to assist decision making. Design/methodology/approach – This paper proposes a novel model where occurrences of relationships are taken into account when forecasting. Taiwan Stock Exchange Capitalization Weighted Stock Index is taken as the forecasting target. Findings – Due to the consideration of occurrences of relationships in forecasting, the out of sample forecasting is improved. Practical implications – The proposed model can be applied to forecast other time series for regime switches. In addition, it can be integrated with other time series models to improve forecasting performance. Originality/value – The empirical results show that the proposed model can improve the forecasting performance.

Journal

Management DecisionEmerald Publishing

Published: Aug 12, 2014

Keywords: Decision making; Forecasting; Time series analysis; Taiwan; Regime switching; Taiwan Stock Exchange Capitalization Weighted Stock Index

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off