New approaches to forecasting economic and financial time series
Basic data for this project
Type of project: Own resources project
Duration at the University of Münster: since 01/01/2020
Description
We establish and analyze two new approaches to forecasting economic and financial time series. (i) In many real-world situations, the forecaster has available multiple (say M) individual forecasts of the same target variable. We establish a procedure for (potentially) reducing the forecast errors of the M individual forecast models, by interrelating the M forecast-error processes within a vector autoregressive framework. (ii) Many financial time series (like electricity prices) can be shown to include multifractal structures. We model the data-generating process (DGP) of the variable by incorporating (theoretical) multifractal elements, and analyze the forecasting capacities of these new DGPs.
Keywords: Econometrics; time series analysis; forecasting; forecast combinations; forecast- error modeling; multifractal structures
Project management at the University of Münster
| Wilfling, Bernd | Professur für Volkswirtschaftslehre, empirische Wirtschaftsforschung (Prof. Wilfling) |
Research associates from the University of Münster
| Monschang, Verena | Chair of Empirical Economics |
| Segnon, Mawuli Kouami | Chair of Empirical Economics |