Forecasting stock prices using a hierarc
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Jun Ying; Lynn Kuo; Gim S. Seow
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Article
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2005
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John Wiley and Sons
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English
⚖ 527 KB
The Ohlson model is evaluated using quarterly data from stocks in the Dow Jones Index. A hierarchical Bayesian approach is developed to simultaneously estimate the unknown coefficients in the time series regression model for each company by pooling information across firms. Both estimation and predi