English, Article, Journal or magazine article edition: A Note on Updating Forecasts When New Information Arrives between Two Periods Chen, Pu

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Note on Updating Forecasts When New Information Arrives between Two Periods
Author
  • Chen, Pu
Physical Description
  • preprint
Notes
  • In this note the author discusses the problem of updating forecasts in a time-discrete forecasting model when information arrives between the current period and the next period. To use the information that arrives between two periods, he assumes that the process between two periods can be approximated by a linear interpolation of the timediscrete forecasting model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new information arrives between the current period and the next period. He demonstrates by theoretical arguments and empirical examples that this updating rule is simple, intuitively appealing, defendable and useful.
  • Forecast
  • RePEc:zbw:ifwedp:7586
Language
  • English
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