Bayesian model averaging and exchange rate forecasts

DOI10.1016/J.JECONOM.2008.08.012MaRDI QIDQ299226zbMATH OpenOpenAlexFDO

Authors Jonathan H. Wright

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.08.012

zbMATH Keywords

bootstrapexchange ratesforecastingshrinkagemodel uncertainty

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Bayes Factors
• Bayesian Model Averaging for Linear Regression Models
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Forecasting Using Principal Components From a Large Number of Predictors
• Frequentist Model Average Estimators

Cited in

(25)

• A model-averaging approach for high-dimensional regression
• Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
• A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
• Factor model forecasts of exchange rates
• A Bayesian vector error correction model for forecasting exchange rates.
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Corrected Mallows criterion for model averaging
• Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
• Combining probabilistic forecasts of intermittent demand
• Bayesian averaging, prediction and nonnested model selection
• The determinants of CDS spreads: evidence from the model space
• Predicting daily highs and lows of exchange rates: a cointegration analysis
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• A Bayesian analysis of the unit root in real exchange rates
• Predictive model averaging with parameter instability and heteroskedasticity
• Sampling properties of the Bayesian posterior mean with an application to WALS estimation
• Forecasting exchange rates using asymmetric losses: a Bayesian approach
• What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
• scientific article; zbMATH DE number 7247634 (Why is no real title available?)
• Model averaging for asymptotically optimal combined forecasts
• Using an empirical Bayes model to estimate currency exchange rate
• On the sources of uncertainty in exchange rate predictability
• Bayesian, MLE, and GMM Estimation of a Spot Rate Model
• Forecasting with factor-augmented regression: a frequentist model averaging approach

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