Giannellis, Nikolaos; Hall, Stephen George; Kouretas, Georgios P.; Tavlas, George S.; Wang, Yongli
(Wiley, 2025-04)
Early studies that used rolling windows found it to be a useful forecasting technique. These studies were, by-and-large, based on
pre-2000 data, which were nonstationary. Subsequent work, based on stationary data from the ...