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A Hybrid Method to Improve Forecasting Accuracy : Application to J-REIT(commerce, hotel, and logistics type)stock market prices
https://oiu.repo.nii.ac.jp/records/55
https://oiu.repo.nii.ac.jp/records/55c7f5c861-8097-47eb-b08f-ba7f235ddc78
名前 / ファイル | ライセンス | アクション |
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25-2-013 (5.7 MB)
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Item type | 紀要論文(ELS) / Departmental Bulletin Paper(1) | |||||
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公開日 | 2012-01-31 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | A Hybrid Method to Improve Forecasting Accuracy : Application to J-REIT(commerce, hotel, and logistics type)stock market prices | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | minimum variance | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | exponential smoothing method | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | forecasting | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | trend | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P(論文) | |||||
記事種別(日) | ||||||
値 | 論文 | |||||
記事種別(英) | ||||||
言語 | en | |||||
値 | Article | |||||
著者名(日) |
石井, 康夫
× 石井, 康夫× 永田, 恵子× 竹安, 数博 |
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著者名よみ |
イシイ, ヤスオ
× イシイ, ヤスオ× ナガタ, ケイコ× タケヤス, カズヒロ |
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著者名(英) |
Ishii, Yasuo
× Ishii, Yasuo× Nagata, Keiko× Takeyasu, Kazuhiro |
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抄録(英) | ||||||
内容記述タイプ | Other | |||||
内容記述 | Given that the equation of the exponential smoothing method (ESM) is equivalent to the (1,1) order ARMA model equation, a new method of estimation of the smoothing constant in the exponential smoothing method was proposed before by us which satisfied the minimum variance of forecasting error. Generally, the smoothing constant is selected arbitrarily, but in this paper we utilize the above theoretical solution. Firstly, we estimate the ARMA model parameter and then estimate the smoothing constants. Thus the theoretical solution is derived in a simple way and may be utilized in various fields. Furthermore, combining the trend removing method with this method, we aim to improve forecasting accuracy. This new method is applied to the stock market price data of Japan Real Estate Investment Trust (J-REIT), obtaining some interesting results. |
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雑誌書誌ID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN10110523 | |||||
書誌情報 |
国際研究論叢 : 大阪国際大学紀要 en : OIU journal of international studies 巻 25, 号 2, p. 13-32, 発行日 2012-01-31 |