Maximizing equity market sector predictability in a Bayesian time-varying parameter model
DOI10.1016/J.CSDA.2007.09.030zbMATH Open1452.62772OpenAlexW2042286782MaRDI QIDQ1023643FDOQ1023643
Authors: Lorne D. Johnson, Georgios Sakoulis 
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.030
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- A unified approach to nonlinearity, structural change, and outliers
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- MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
- Variable selection in regression models using nonstandard optimisation of information criteria
- A simple and efficient method for variable ranking according to their usefulness for learning
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