+44 (0)1509 263171
Please use this identifier to cite or link to this item:
|Title: ||Forecasting market returns: bagging or combining?|
|Authors: ||Jordan, Steven J.|
Vivian, Andrew J.
Wohar, Mark E.
|Keywords: ||Return forecasting|
|Issue Date: ||2016|
|Publisher: ||© International Institute of Forecasters. Published by Elsevier|
|Citation: ||JORDAN, S.J., VIVIAN, A. and WOHAR, M.E., 2016. Forecasting market returns: bagging or combining? International Journal of Forecasting, 33 (1), pp. 102-120.|
|Abstract: ||This paper provides a rigorous and detailed analysis of the methods of bagging, which addresses both model and parameter uncertainty. We provide a multi-country study of bagging, of which there are very few to date, that examines out-of-sample forecasts for the G7 and a broad set of Asian countries. We find that, when portfolio weight restrictions are applied, bagging generally improves forecast accuracy and generates economic gains relative to the benchmark. Bagging also performs well compared to forecast combinations in this setting. We incorporate data mining critical values for appropriate inference on bagging and combination forecast methods. We provide new evidence that the results for bagging cannot be fully explained by data mining concerns. Finally, forecasting gains are highest for countries with high trade openness and high FDI. The potentially substantial economic gains could well be operational given the existence of index funds for most of these countries.|
|Description: ||This paper was accepted for publication in the journal International Journal of Forecasting and the definitive published version is available at http://dx.doi.org/10.1016/j.ijforecast.2016.07.003|
|Version: ||Accepted for publication|
|Publisher Link: ||http://dx.doi.org/10.1016/j.ijforecast.2016.07.003|
|Appears in Collections:||Published Articles (Business)|
Files associated with this item:
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.