Time Series Forecasting for Economic and Financial Phenomena

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".

Deadline for manuscript submissions: 31 January 2025 | Viewed by 1088

Special Issue Editors


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Guest Editor
Department of Electrical and Computer Engineering, University of Patras, 26 504 Rio, Greece
Interests: operations research; probability and statistics; data mining

E-Mail Website
Guest Editor
Department of Mathematics, University of Patras, 26 504 Rio, Greece
Interests: applied statistics; time series and forecasting; econometrics; quantitative finance; risk management

Special Issue Information

Dear Colleagues,

The significance of time series forecasting is undoubtedly present in many fields, with the financial and economic sectors being among them. For many financial and economic phenomena, prediction of the future is of crucial importance when making decisions. The further development of the theory, models, and procedures in this extremely active field can enrich our arsenal for coping with uncertainty and other implications from such phenomena. Each phenomenon is characterized by several statistical properties and models which incorporate such properties are continuously being developed. It has been noticed, however, that while traditional time series models are still valid choices, interdisciplinary approaches are attracting the interest of researchers.

This Special Issue seeks original articles on time series forecasting and its applications in the economy and financial markets. Innovative methodological approaches for modelling economic and financial phenomena, as well as interesting empirical applications, are welcome. The use of statistical methods and machine learning approaches are both of interest. The topics may include, but are not limited to, the development and application of time series models and methods for describing and forecasting phenomena such as unemployment, economic development, GDP, stock markets, commodity markets, betting markets, economics of happiness, social and solidarity economy, asset and derivative pricing, and risk management.

Dr. Sophia Daskalaki
Dr. Christos Katris
Guest Editors

Manuscript Submission Information

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Keywords

  • time series models
  • time series econometrics
  • financial econometrics
  • application of time series to real-world problems
  • time series forecasting
  • time series analysis
  • machine learning in forecasting

Published Papers (1 paper)

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Research

24 pages, 2468 KiB  
Article
An Inconvenient Truth about Forecast Combinations
by Pablo Pincheira-Brown, Andrea Bentancor and Nicolás Hardy
Mathematics 2023, 11(18), 3806; https://doi.org/10.3390/math11183806 - 5 Sep 2023
Viewed by 714
Abstract
It is well-known that the weighted averages of two competing forecasts may reduce mean squared prediction errors (MSPE) and may also introduce certain inefficiencies. In this paper, we take an in-depth view of one particular type of inefficiency stemming from simple combination schemes: [...] Read more.
It is well-known that the weighted averages of two competing forecasts may reduce mean squared prediction errors (MSPE) and may also introduce certain inefficiencies. In this paper, we take an in-depth view of one particular type of inefficiency stemming from simple combination schemes: Mincer and Zarnowitz inefficiency or auto-inefficiency for short. Under mild assumptions, we show that linear convex forecast combinations are almost always auto-inefficient, and, therefore, greater reductions in MSPE are almost always possible. In particular, we show that the process of taking averages of forecasts may induce inefficiencies in the combination, even when individual forecasts are efficient. Furthermore, we show that the so-called “optimal weighted average” traditionally presented in the literature may indeed be inefficient as well. Finally, we illustrate our findings with simulations and an empirical application in the context of the combination of headline inflation forecasts for eight European economies. Overall, our results indicate that in situations in which a number of different forecasts are available, the combination of all of them should not be the last step taken in the search of forecast accuracy. Attempts to take advantage of potential inefficiencies stemming from the combination process should also be considered. Full article
(This article belongs to the Special Issue Time Series Forecasting for Economic and Financial Phenomena)
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