Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series

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dc.contributor.authorBeyaztaş, Beste Hamiye
dc.contributor.departmentOthertr_TR
dc.contributor.facultyOthertr_TR
dc.date.accessioned2021-11-30T07:00:22Z
dc.date.available2021-11-30T07:00:22Z
dc.date.issued2021-06-30
dc.description.abstractThis study presents two interval-valued time series approaches to construct multivariate multi-step ahead joint forecast regions based on two bootstrap algorithms. The first approach is based on fitting a dynamic bivariate system via a VAR process for minimum and maximum of the interval while the second approach applies for mid-points and half-ranges of interval-valued time series. As a novel perspective, we adopt two bootstrap techniques into the proposed interval-valued time series approaches to obtain joint forecast regions of the lower/upper bounds of the intervals. The forecasting performances of the proposed approaches are evaluated by extensive Monte Carlo simulations and two real-world examples: (i) monthly S&P 500 stock indices; (ii) monthly USD/SEK exchange rates. Our results demonstrate that the proposed approaches are capable of producing valid multivariate forecast regions for interval-valued time series.tr_TR
dc.description.indexTrdizintr_TR
dc.identifier.endpage179tr_TR
dc.identifier.issn/e-issn2618-6470
dc.identifier.issue1tr_TR
dc.identifier.startpage156tr_TR
dc.identifier.urihttps://doi.org/10.31801/cfsuasmas.534711tr_TR
dc.identifier.urihttp://hdl.handle.net/20.500.12575/76457
dc.identifier.volume70tr_TR
dc.language.isoentr_TR
dc.publisherAnkara Üniversitesi Fen Fakültesitr_TR
dc.relation.isversionof10.31801/cfsuasmas.534711tr_TR
dc.relation.journalCommunications Faculty of Sciences University of Ankara Series A1 Mathematics and Statisticstr_TR
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Başka Kurum Yazarıtr_TR
dc.subjectMultivariate forecasttr_TR
dc.subjectResampling methodstr_TR
dc.subjectInterval-valued time seriestr_TR
dc.titleBootstrap based multi-step ahead joint forecast densities for financial interval-valued time seriestr_TR
dc.typeArticletr_TR

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