Forecasting Methods in Finance

Our review highlights some of the key challenges in financial forecasting problems and opportunities arising from the unique features of financial data. We analyze the difficulty of establishing predictability in an environment with a low signal-to-noise ratio, persistent predictors, and instability in predictive relations arising from competitive pressures and investors’ learning. We discuss approaches for forecasting the mean, variance, and probability distribution of asset returns. Finally, we discuss how to evaluate financial forecasts while accounting for the possibility that numerous forecasting models may have been considered, leading to concerns of data mining.

• Publication year

  2018

• Venue

  Annual Review of Financial Economics

• Publication date

  2018-02-01

• Fields of study

  Business, Economics

• Identifiers
  DOI 10.1146/ANNUREV-FINANCIAL-110217-022713
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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