Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights

DOI10.1002/for.1145zbMath1204.91111MaRDI QIDQ3065508

Francesco Ravazzolo, Richard Kleijn, Marno Verbeek, Lennart F. Hoogerheide, Hermann K. Van Dijk

Publication date: 6 January 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/09061.pdf

zbMATH Keywords

portfolio optimization; business cycle; forecast combination; Bayesian model averaging; time-varying model weights

Mathematics Subject Classification ID

91B84: Economic time series analysis

Related Items

FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*, Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting, Model averaging for asymptotically optimal combined forecasts, Dynamic Bayesian predictive synthesis in time series forecasting, Time-varying combinations of predictive densities using nonlinear filtering, Infinite Markov pooling of predictive distributions

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