Abstract
The forecasts generation from models that belong to the threshold class is discussed. The main problems that arise when forecasts have to be computed from these models are presented and, in particular, least squares, plug-in and combined predictors are pointed out. The performance of the proposed predictors are investigated using simulated and empirical examples that give evidence in favor of the forecasts combination.
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© 2008 Springer, Milan
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Amendola, A., Niglio, M., Vitale, C. (2008). Least Squares Predictors for Threshold Models: Properties and Forecast Evaluation. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_1
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DOI: https://doi.org/10.1007/978-88-470-0704-8_1
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0703-1
Online ISBN: 978-88-470-0704-8
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