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In this chapter, we offer two case studies that are based upon rolling windows: US unemployment rate and Dow Jones Index returns. The former case is a very common macroeconomic variable, containing stochastic trend and seasonality; the latter is characterized by volatility. Rolling windows stack window-specific forecasts, allowing us to evaluate the forecasting performance of different models.

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Predictive Case Studies: Training by Rolling

  • 章节

  • 发表日期：

    2025年

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  • Tsung-wu Ho

摘要

In this chapter, we offer two case studies that are based upon rolling windows: US unemployment rate and Dow Jones Index returns. The former case is a very common macroeconomic variable, containing stochastic trend and seasonality; the latter is characterized by volatility. Rolling windows stack window-specific forecasts, allowing us to evaluate the forecasting performance of different models.