摘要:

AbstractThe paper presents new evidence on the predictability of excess returns on common stocks for the Standard and Poor's 500 and the Dow Jones Industrial portfolios at the monthly, quarterly, and annual frequencies. It shows that recursive predictions obtained on the basis of the excess returns regressions are capable of correctly predicting a statistically significant proportion of the signs of the actual returns. The paper also shows that the switching portfolios constructed on the basis of the signs of the recursive predictions mean‐variance dominate the respective market portfolios when trading takes place on a quarterly or annual basis. This result holds even under a high transaction cost scenario. However, due to the larger number of transactions at the monthly frequency the monthly switching portfolios only mean‐variance dominate the respective market portfolios when transaction costs are zero or

ISSN:0277-6693    

DOI:10.1002/for.3980130402

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractWe shall first review some non‐normal stationary first‐order autoregressive models. The models are constructed with a given marginal distribution (logistic, hyperbolic secant, exponential, Laplace, or gamma) and the requirement that the bivariate joint distribution of the generated process must be sufficiently simple so that the parameter estimation and forecasting problems of the models can be addressed. A model‐building approach that consists of model identification, estimation, diagnostic checking, and forecasting is then discussed for this class of m

ISSN:0277-6693    

DOI:10.1002/for.3980130403

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractThe main failure of ARIMA modelling as used in practice are the limiting constraints imposed by differencing to achieve stationarity. The use of fractional differencing opens up a much wider and realistic behaviour for the trend and seasonal components than traditional integer differencing. This paper shows several advantages of using fractional differencing for forecasting monthly data. These advantages are illustrated using a sample of previously modelled time‐series data selected from the literatur

ISSN:0277-6693    

DOI:10.1002/for.3980130404

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130405

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

摘要:

AbstractThis study explores the nature of information conveyed by 14 error measures drawn from the literature, using real‐life forecasting data from 691 individual product items over six quarterly periods. Principal components analysis is used to derive factor solutions that are subsequently compared for two forecasting methods, a version of Holt's exponential smoothing, and the random walk model (Naive 1). The results reveal four underlying forecast error dimensions that are stable across the two factor solutions. The potentially confounding influence of sales volume on the derived error dimensions is also explored via correlation analysi

ISSN:0277-6693    

DOI:10.1002/for.3980130406

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130407

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130408

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980130401

出版商:John Wiley&Sons, Ltd.    

年代:1994

数据来源: WILEY