Combining forecasts? Keep it simple
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Abstract
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DOI: 10.2478/ceej-2023-0020
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References listed on IDEAS
- Mauro Bernardi & Leopoldo Catania, 2016. "Comparison of Value-at-Risk models using the MCS approach," Computational Statistics, Springer, vol. 31(2), pages 579-608, June.
- Yiuman Tse, 2016. "Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets," The Financial Review, Eastern Finance Association, vol. 51(1), pages 83-111, February.
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More about this item
Keywords
Machine learning; GARCH models; combined forecasts; commodities; VaR; C53; G32; Q01;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Q01 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Sustainable Development
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