Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
DOI10.1002/FOR.1145zbMATH Open1204.91111OpenAlexW2133314124MaRDI QIDQ3065508FDOQ3065508
Authors: Richard Kleijn, Francesco Ravazzolo, Marno Verbeek, Lennart F. Hoogerheide, Herman 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
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Cited In (19)
- Forecasting inflation using time-varying Bayesian model averaging
- Dynamic Bayesian predictive synthesis in time series forecasting
- Model averaging for asymptotically optimal combined forecasts
- Title not available (Why is that?)
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
- Forecasting inflation using dynamic model averaging
- Forecasting in dynamic factor models using Bayesian model averaging
- Ensemble Economic Scenario Generators: Unity Makes Strength
- Time-varying combinations of predictive densities using nonlinear filtering
- Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
- Infinite Markov pooling of predictive distributions
- Time-varying model averaging
- A panel data approach to economic forecasting: the bias-corrected average forecast
- A flexible predictive density combination for large financial data sets in regular and crisis periods
- Multivariate Bayesian predictive synthesis in macroeconomic forecasting
- Forecast Combination and Model Averaging Using Predictive Measures
- Bayesian forecast combination for VAR models
- Predictive model averaging with parameter instability and heteroskedasticity
- Forecast combination and Bayesian model averaging: a prior sensitivity analysis
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