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Econometric Reviews Volume 33, 2014 - Issue 5-6: Special Issue in Honor of Les Godfrey
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Original Articles

Robustify Financial Time Series Forecasting with Bagging

Sainan Jin School of Economics, Singapore Management University, Singapore, Singapore
,
Liangjun Su School of Economics, Singapore Management University, Singapore, Singapore
&
Aman Ullah Department of Economics, University of California, Riverside, California, USACorrespondence[email protected]
Pages 575-605 | Published online: 27 Nov 2013

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Aman Ullah, Alan T. K. Wan, Huansha Wang, Xinyu Zhang & Guohua Zou. (2017) A semiparametric generalized ridge estimator and link with model averaging. Econometric Reviews 36:1-3, pages 370-384.
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Articles from other publishers (19)

Qin Luo, Jinfeng Bu, Weiju Xu & Dengshi Huang. (2023) Stock market volatility prediction: Evidence from a new bagging model. International Review of Economics & Finance 87, pages 445-456.
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Pedro Henrique Melo Albuquerque, Yaohao Peng & João Pedro Fontoura da Silva. (2022) Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting. Journal of Forecasting 41:8, pages 1701-1724.
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Kadir Özen & Dilem Yıldırım. (2021) Application of bagging in day-ahead electricity price forecasting and factor augmentation. Energy Economics 103, pages 105573.
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Nonita Sharma, Jaiditya Dev, Monika Mangla, Vaishali Mehta Wadhwa, Sachi Nandan Mohanty & Deepti Kakkar. (2021) A Heterogeneous Ensemble Forecasting Model for Disease Prediction. New Generation Computing 39:3-4, pages 701-715.
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Yuying Sun, Yongmiao Hong, Tae-Hwy Lee, Shouyang Wang & Xinyu Zhang. (2021) Time-varying model averaging. Journal of Econometrics 222:2, pages 974-992.
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Domenico Giannone, Michele Lenza & Giorgio E. Primiceri. (2021) Economic Predictions With Big Data: The Illusion of Sparsity. Econometrica 89:5, pages 2409-2437.
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Eric Hillebrand, Manuel Lukas & Wei Wei. (2021) Bagging weak predictors. International Journal of Forecasting 37:1, pages 237-254.
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Huanling Hu, Lin Wang, Lu Peng & Yu-Rong Zeng. (2020) Effective energy consumption forecasting using enhanced bagged echo state network. Energy 193, pages 116778.
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Tae-Hwy Lee, Aman Ullah & Ran Wang. 2020. Macroeconomic Forecasting in the Era of Big Data. Macroeconomic Forecasting in the Era of Big Data 389 429 .
Tiago Mendes Dantas & Fernando Luiz Cyrino Oliveira. (2018) Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing. International Journal of Forecasting 34:4, pages 748-761.
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George Athanasopoulos, Haiyan Song & Jonathan A. Sun. (2017) Bagging in Tourism Demand Modeling and Forecasting. Journal of Travel Research 57:1, pages 52-68.
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Ali Zafer Dalar & Erol Eğrioğlu. 2018. Trends and Perspectives in Linear Statistical Inference. Trends and Perspectives in Linear Statistical Inference 69 87 .
Pinho J. Ribeiro. (2017) Selecting exchange rate fundamentals by bootstrap. International Journal of Forecasting 33:4, pages 894-914.
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Xun Lu & Liangjun Su. (2015) Jackknife model averaging for quantile regressions. Journal of Econometrics 188:1, pages 40-58.
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A.S. Khwaja, M. Naeem, A. Anpalagan, A. Venetsanopoulos & B. Venkatesh. (2015) Improved short-term load forecasting using bagged neural networks. Electric Power Systems Research 125, pages 109-115.
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Chaolong Jia, Lili Wei, Hanning Wang & Jiulin Yang. (2014) Study of Track Irregularity Time Series Calibration and Variation Pattern at Unit Section. Computational Intelligence and Neuroscience 2014, pages 1-14.
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Aman Ullah & Huansha Wang. (2013) Parametric and Nonparametric Frequentist Model Selection and Model Averaging. Econometrics 1:2, pages 157-179.
Crossref
Pinho J. Ribeiro. (2016) Revealing Exchange Rate Fundamentals by Bootstrap. SSRN Electronic Journal.
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Xun Lu & Liangjun Su. (2014) Jackknife Model Averaging for Quantile Regressions. SSRN Electronic Journal.
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