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Book part
Publication date: 26 October 2017

Okan Duru and Matthew Butler

In the last few decades, there has been growing interest in forecasting with computer intelligence, and both fuzzy time series (FTS) and artificial neural networks (ANNs…

Abstract

In the last few decades, there has been growing interest in forecasting with computer intelligence, and both fuzzy time series (FTS) and artificial neural networks (ANNs) have gained particular popularity, among others. Rather than the conventional methods (e.g., econometrics), FTS and ANN are usually thought to be immune to fundamental concepts such as stationarity, theoretical causality, post-sample control, among others. On the other hand, a number of studies significantly indicated that these fundamental controls are required in terms of the theory of forecasting, and even application of such essential procedures substantially improves the forecasting accuracy. The aim of this paper is to fill the existing gap on modeling and forecasting in the FTS and ANN methods and figure out the fundamental concepts in a comprehensive work through merits and common failures in the literature. In addition to these merits, this paper may also be a guideline for eliminating unethical empirical settings in the forecasting studies.

Details

Advances in Business and Management Forecasting
Type: Book
ISBN: 978-1-78743-069-3

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Abstract

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New Directions in Macromodelling
Type: Book
ISBN: 978-1-84950-830-8

Abstract

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Essays in Honor of Cheng Hsiao
Type: Book
ISBN: 978-1-78973-958-9

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Messy Data
Type: Book
ISBN: 978-0-76230-303-8

Article
Publication date: 21 September 2020

Frederik Kunze, Tobias Basse, Miguel Rodriguez Gonzalez and Günter Vornholz

In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and…

Abstract

Purpose

In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and forward-looking risk management procedures, this market should be analyzed in more detail. Therefore, this study aims to examine the housing market data from the UK. More specifically, sentiment data and house prices are examined, using techniques of time-series econometrics suggested by Toda and Yamamoto (1995). The monthly data used in this study is the RICS Housing Market Survey and the Nationwide House Price Index – covering the period from January 2000 to December 2018. Furthermore, the authors also analyze the stability of the implemented Granger causality tests. In sum, the authors found clear empirical evidence for unidirectional Granger causality from sentiment indicator to the house prices index. Consequently, the sentiment indicator can help to forecast property prices in the UK.

Design/methodology/approach

By investigating sentiment data for house prices using techniques of time-series econometrics (more specifically the procedure suggested by Toda and Yamamoto, 1995), the research question whether sentiment indicators can be helpful to predict property prices in the UK is analyzed empirically.

Findings

The empirical results show that the RICS Housing Market Survey can help to predict the house prices in the UK.

Practical implications

Given these findings, the information provided by property market sentiment indicators certainly should be used in a forward-looking early warning system for house prices in the UK.

Originality/value

To authors’ knowledge, this is the first paper that uses the procedure suggested by Toda and Yamaoto to search for suitable early warning indicators for investors in UK real estate assets.

Details

The Journal of Risk Finance, vol. 21 no. 5
Type: Research Article
ISSN: 1526-5943

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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

Book part
Publication date: 30 November 2011

Massimo Guidolin

I review the burgeoning literature on applications of Markov regime switching models in empirical finance. In particular, distinct attention is devoted to the ability of…

Abstract

I review the burgeoning literature on applications of Markov regime switching models in empirical finance. In particular, distinct attention is devoted to the ability of Markov Switching models to fit the data, filter unknown regimes and states on the basis of the data, to allow a powerful tool to test hypotheses formulated in light of financial theories, and to their forecasting performance with reference to both point and density predictions. The review covers papers concerning a multiplicity of sub-fields in financial economics, ranging from empirical analyses of stock returns, the term structure of default-free interest rates, the dynamics of exchange rates, as well as the joint process of stock and bond returns.

Details

Missing Data Methods: Time-Series Methods and Applications
Type: Book
ISBN: 978-1-78052-526-6

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Article
Publication date: 21 March 2019

Abdullahil Mamun, Harun BAL and Emrah Eray AKCA

The study aims to examine the export-led growth (ELG) hypothesis for Bangladesh. The direction of causality between export and output largely determines the success of…

Abstract

Purpose

The study aims to examine the export-led growth (ELG) hypothesis for Bangladesh. The direction of causality between export and output largely determines the success of export-oriented trade policies. A unidirectional causality running from export to output growth is required according to the narrow definition, while bidirectional causality is allowed for the broader definition. The study offers the causality inference, both from narrow and broader senses.

Design/methodology/approach

The study uses the bootstrap version of Toda and Yamamoto-modified causality tests, a recent development in time series econometrics, robust against the regularity conditions such as stationarity, properties of integration and cointegration and constancy of parameters. It uses monthly secondary data for the period of 1990-2014.

Findings

Test results suggest a unidirectional positive causal relationship from exports to output growth, meaning that the policies and strategies supporting exports are promoting output growth and thereby approve the ELG hypothesis for Bangladesh from the narrow sense. However, the absence of bidirectional causality between export and output growth, necessary to support the ELG hypothesis from the broader perspective, discards the conjecture that output growth is reinvigorated through the probable second-round effects of ELG produced from output growth to exports.

Practical implications

Lower investments in infrastructure, technology and education are reasons for the absence of ELG from the broader sense. Therefore, directing returns generated from exports for the development of technology, infrastructure and human capital, with regular and continuous revision of trade-liberalization policies so as to make its exports more competitive in the world market, will help Bangladesh trigger the second-round effect of ELG produced from output growth to exports.

Originality/value

Beyond the conventional approaches, this is the first contemporary time series econometrics causality analysis between export and output growth of Bangladesh, both from narrow and broader senses.

Details

Journal of Asia Business Studies, vol. 13 no. 2
Type: Research Article
ISSN: 1558-7894

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Article
Publication date: 1 January 2010

James Mixon

Model estimation gives students insights beyond what they can gain from textbook presentations. This paper introduces a way to make doing this easier and more effective…

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Abstract

Purpose

Model estimation gives students insights beyond what they can gain from textbook presentations. This paper introduces a way to make doing this easier and more effective. It introduces the program Gnu Regression, Econometrics and Timeseries Library (GRETL) which may be downloaded free of charge, and which students can place on their computers quickly and easily. Using GRETL to produce ordinary least squares (OLS) estimates is an easy, intuitive exercise. Therefore, instructors may assign such exercises without taking a large amount of time to introduce the computer and OLS estimation. GRETL, though designed to facilitate instruction, has grown into a full econometrics package that instructors can use as a research tool as well as an instructional aid.

Design/methodology/approach

The paper provides an overview of GRETL's accessibility and its capabilities. Next it addresses the use of GRETL for instructional purposes. Then it shows how GRETL can be used as a research tool.

Findings

The paper shows that GRETL can be a useful addition to the instructor who is showing novices how to use regression models. Also, it can be used as a research tool.

Practical implications

Given software like GRETL, instructors no longer need to omit model estimation because of the difficulties in accessing software and showing students how to use it.

Originality/value

This paper introduces a relatively new option, the use of a powerful open‐source software package to instructors in finance and accounting courses.

Details

Managerial Finance, vol. 36 no. 1
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 August 1999

Ralf Östermark, Rune Höglund and Henrik Saxén

In this paper we try to assess how a weighted shares index and corresponding futures index respond to a change in the short‐term interest rate. Three methods are applied…

Abstract

In this paper we try to assess how a weighted shares index and corresponding futures index respond to a change in the short‐term interest rate. Three methods are applied in analysing the data: an error correction regression method, a state space method and a neural network method. Results indicate presence of cointegration in the data set. A sensitivity analysis of each model was carried out by studying the evolution of the predictions after the studied time period, using deterministic values of the inputs. An analysis of the influence of an interest rate shock yielded interesting results. In the neural network model, again, more complicated response patterns were observed.

Details

Kybernetes, vol. 28 no. 6/7
Type: Research Article
ISSN: 0368-492X

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