RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA

Alessio Sancetta

Econometric Theory, 2010, vol. 26, issue 2, 598-631

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.

Date: 2010
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