Interval forecasting of exchange rates: a new interval decomposition ensemble approach
文献类型：期刊论文
| 作者 | Sun, Shaolong1,2,4; Wang, Shouyang1,2,3; Wei, Yunjie1,3 |
| 刊名 | INDUSTRIAL MANAGEMENT & DATA SYSTEMS
 |
| 出版日期 | 2020-04-07 |
| 页码 | 28 |
| 关键词 | Exchange rate forecasting Interval-valued data Autoregressive model Neural networks Bivariate empirical mode decomposition |
| ISSN号 | 0263-5577 |
| DOI | 10.1108/IMDS-03-2019-0194 |
| 英文摘要 | Purpose Accurate exchange rate forecasting is crucial for decision making regarding financial investments and has attracted a lot of interest of academic researchers and practitioners. An interval decomposition ensemble (IDE) learning approach is proposed to forecast interval-valued exchange rate by integrating bivariate empirical mode decomposition (BEMD), interval multilayer perceptron (MLPI) and interval autoregressive method (AR(I)). Design/methodology/approach BEMD is utilized to decompose the complex-valued signal into a finite number of complex-valued intrinsic mode functions (IMFs) components and one complex-valued residual component. Each non-linear IMF and the linear residual component are modelled by MLPI and AR(I) separately. Finally, MLPI is utilized to ensemble the forecasting results of the lower and upper bounds of all the components to generate the aggregated interval-valued output. Findings The empirical results show that the proposed IDE learning approach with different forecasting horizons and different data frequencies significantly outperforms some other benchmark models by means of forecasting accuracy and hypothesis tests. Originality/value The proposed IDE approach based on the interval-value data, which can take use of the data information furthest and to improve the forecasting performance of exchange rate. |
| 资助项目 | National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71771208] ; National Natural Science Foundation of China[71642006] |
| WOS研究方向 | Computer Science ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000523162200001 |
| 出版者 | EMERALD GROUP PUBLISHING LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51064]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wei, Yunjie |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China 4.Xi An Jiao Tong Univ, Sch Management, Xian, Peoples R China |
| 推荐引用方式 GB/T 7714 | Sun, Shaolong,Wang, Shouyang,Wei, Yunjie. Interval forecasting of exchange rates: a new interval decomposition ensemble approach[J]. INDUSTRIAL MANAGEMENT & DATA SYSTEMS,2020:28. |
| APA | Sun, Shaolong,Wang, Shouyang,&Wei, Yunjie.(2020).Interval forecasting of exchange rates: a new interval decomposition ensemble approach.INDUSTRIAL MANAGEMENT & DATA SYSTEMS,28. |
| MLA | Sun, Shaolong,et al."Interval forecasting of exchange rates: a new interval decomposition ensemble approach".INDUSTRIAL MANAGEMENT & DATA SYSTEMS (2020):28. |
入库方式： OAI收割
来源：数学与系统科学研究院
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