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

DOI10.1002/for.1145zbMath1204.91111OpenAlexW2133314124MaRDI 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 optimizationbusiness cycleforecast combinationBayesian model averagingtime-varying model weights

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (8)

Infinite Markov pooling of predictive distributions ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* ⋮ Time-varying combinations of predictive densities using nonlinear filtering ⋮ Dynamic Bayesian predictive synthesis in time series forecasting

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