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0answers
8 views

How to prepare data for superior predictive ability (SPA) test?

Can anyone please let me know how to prepare data to compute superior predictive ability (SPA) test in R? I am working on forecasting volatility in stock markets, the context is, I used ...
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2answers
60 views

Infinite autocorrelation - Unit root?

I have a time series of gold prices, on which I want to build an ARIMA model. The series is autocorrelated and if I can difference as often as I want, it always is. First: data: d1gold Dickey-Fuller ...
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187 views

Optimal Position Size with Transaction Costs given Forecast Mean and StDev

I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps. Let's start our thinking with the idea of a buy and hold strategy of ...
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0answers
103 views

Combining Mulitple Forecasts? Budged Constraints?

I'm hoping that someone can lend a hand. I have been reading various papers on how to combine multiple forecast time series. The main paper is Granger and Bates 1969. The suggestion here is that there ...