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RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA

Published online by Cambridge University Press:  30 September 2009

Alessio Sancetta
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Abstract

This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and only require a tail condition on the data sequences. The theoretical results show that the bounds are also valid in the case of time varying combination weights.

Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 2 , April 2010 , pp. 598 - 631
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

I am grateful to two anonymous referees and a co-editor for comments that improved the paper in both content and presentation.

References

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