期刊論文
| 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 | en |
| ISSN | 1931-0269 2157-0698 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23707 ) |