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Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Alessandra Amendola

    (University of Salerno)

  • Marcella Niglio

    (University of Salerno)

  • Cosimo Vitale

    (University of Salerno)

Abstract

The forecasts generation from models that belong to the threshold class is discussed. The main problems that arise when forecasts have to be computed from these models are presented and, in particular, least squares, plug-in and combined predictors are pointed out. The performance of the proposed predictors are investigated using simulated and empirical examples that give evidence in favor of the forecasts combination.

Suggested Citation

  • Alessandra Amendola & Marcella Niglio & Cosimo Vitale, 2008. "Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 1-9, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_1
    DOI: 10.1007/978-88-470-0704-8_1
    as

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