A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets
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| Format: | Artículo científico |
| Langue: | es |
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Universidad Nacional de Colombia
2011
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| _version_ | 1876427334167298048 |
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| author | Carlos G. Maté |
| author_facet | Carlos G. Maté |
| contents | A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets Carlos G. Maté Física, Astronomía y Matemáticas Time series Factor analysis Combining forecasting Forecasting methodology Principal components analysis Forecasting is characterized by the availability of a lot of methods and the fact that technological and economic forecast horizons are increasingly more different from each other. Combining forecasts is an adequate methodology for handling the above scenario, which is conceptually suitable for the application of several methods of multivariate analysis. This paper reviews some main problems in combining forecasts efficiently from the multivariate analysis view. In particular, a methodology to produce combined forecasts with a large number of forecasts is proposed. The usefulness of such a methodology is assessed in exchange rates forecasting. Further research is suggested for finance as well as for other practical contexts such as energy markets. 2011 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89922497007 es http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.34 |
| format | Artículo científico |
| id | redalyc_89922497007 |
| institution | Redalyc |
| language | es |
| publishDate | 2011 |
| publisher | Universidad Nacional de Colombia |
| spellingShingle | A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets Carlos G. Maté Física, Astronomía y Matemáticas Time series Factor analysis Combining forecasting Forecasting methodology Principal components analysis A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets Carlos G. Maté Física, Astronomía y Matemáticas Time series Factor analysis Combining forecasting Forecasting methodology Principal components analysis Forecasting is characterized by the availability of a lot of methods and the fact that technological and economic forecast horizons are increasingly more different from each other. Combining forecasts is an adequate methodology for handling the above scenario, which is conceptually suitable for the application of several methods of multivariate analysis. This paper reviews some main problems in combining forecasts efficiently from the multivariate analysis view. In particular, a methodology to produce combined forecasts with a large number of forecasts is proposed. The usefulness of such a methodology is assessed in exchange rates forecasting. Further research is suggested for finance as well as for other practical contexts such as energy markets. 2011 artículo científico 0120-1751 https://www.redalyc.org/articulo.oa?id=89922497007 es http://www.redalyc.org/revista.oa?id=899 Revista Colombiana de Estadística application/pdf Universidad Nacional de Colombia Revista Colombiana de Estadística (Colombia) Num.2 Vol.34 |
| title | A Multivariate Analysis Approach to Forecasts Combination. Application to Foreign Exchange (FX) Markets |
| topic | Física, Astronomía y Matemáticas Time series Factor analysis Combining forecasting Forecasting methodology Principal components analysis |
| url | https://www.redalyc.org/articulo.oa?id=89922497007 |