教師資料查詢 | 類別: 期刊論文 | 教師: 邱建良 CHIU CHIEN-LIANG (瀏覽個人網頁)

標題:Enhancing Forecast Accuracy by Using Long Estimation Periods
學年96
學期1
出版(發表)日期2007/11/01
作品名稱Enhancing Forecast Accuracy by Using Long Estimation Periods
作品名稱(其他語言)
著者Lee, Ming-chih; Chiu, Chien-Liang; Cheng, Wan-hsiu
單位淡江大學財務金融學系
出版者Hilo: The Institute for Business and Finance Research
著錄名稱、卷期、頁數International Journal of Business and Finance Research 1(2), pp.1-9
摘要A tradeoff between forecast accuracy and the length of an estimation period always exists in forecasting. Longer estimation periods are argued to be less efficient, however, using the forecast encompassing and accuracy test, this study discusses the importance of considering the overall usefulness of information in the in-sample period. The empirical results demonstrate that forecasts using the correct model have reduced measurement loss and the mean of forecast errors decrease with an increase in in-sample period. Moreover, for the forecast accuracy and encompassing tests, reducing the use of observations in making estimates leads to the wrong model being easily accepted. Additionally, these analytical results are also consistent with the application in hedge performance, that is, the hedge effectiveness is optimized when the estimation period is longest, particularly under the recursive scheme.
關鍵字
語言英文
ISSN1931-0269;2157-0698
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式紙本
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