Forecast Combinations

Preprint OPEN
Timmermann, Allan G;
  • Subject: diversification gains; forecast combinations; model misspecification; pooling and trimming; shrinkage methods
    • jel: jel:C22 | jel:C53
    arxiv: Physics::Atmospheric and Oceanic Physics

Forecast combinations have frequently been found in empirical studies to produce better forecasts on average than methods based on the ex-ante best individual forecasting model. Moreover, simple combinations that ignore correlations between forecast errors often dominat... View more
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