A1151
Title: A horse for (almost) every course: Forecasting financial time series with the Theta Method
Authors: Dimitrios Thomakos - University of Peloponnese (Greece)
Konstantinos Nikolopoulos - Bangor University (United Kingdom) [presenting]
Abstract: Building on earlier work on the properties and performance of the univariate and bivariate Theta method we: (a) derive new theoretical formulations for the application of the method on multivariate time series; (b) investigate the conditions for which the multivariate Theta method is expected to forecast better than the univariate one; (c) evaluate through simulations the univariate, bivariate and multivariate form of the method; and (d) evaluate these latter models in real macroeconomic and financial time series. The study provides sufficient empirical evidence to illustrate the suitability of the method for financial forecasting; furthermore it provides the motivation for further investigation of the Theta method in other application areas.
