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    题名: Forecasting Taiwan stock price with corrected error term
    作者: 張紘炬;Chang, Horng-jinh;劉美琦;Liu, Mei-chi
    贡献者: 淡江大學經營決策學系
    日期: 2000-07
    上传时间: 2009-11-30 12:21:04 (UTC+8)
    出版者: TARU Publications
    摘要: The study is designed to demonstrate how the forecasting models with corrected error term can be effectively used to high performance forecasts for stock price applications. Another purpose of this study is to compare the forecasts generated by the error correction model (ECM), the autoregressive conditional heteroscedastic (ARCH) model, the regression with ARMA error model (Reg-ARMA) and the autoregressive error model (Autoreg). The accuracy of these forecasting models is measured by using the forecasting errors in a post-sample period. The results show that the forecasting performance of the ECM is the best, and the next best in Autoreg model while the worst is Reg-ARMA model.
    關聯: Journal of Statistics & Management Systems 3(2), pp.205-214
    DOI: 10.1080/09720510.2000.10701015
    显示于类别:[統計學系暨研究所] 期刊論文
    [管理科學學系暨研究所] 期刊論文

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