𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Forecasting in dynamic factor models using Bayesian model averaging

✍ Scribed by Gary Koop; Simon Potter


Book ID
110879988
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
116 KB
Volume
7
Category
Article
ISSN
1368-4221

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Forecasting US inflation by Bayesian mod
✍ Jonathan H. Wright πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 372 KB

## Abstract Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal‐weighted averaging of the forecasts from a large number of diffe

Forecasting realized volatility: a Bayes
✍ Chun Liu; John M. Maheu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 261 KB

## Abstract How to measure and model volatility is an important issue in finance. Recent research uses high‐frequency intraday data to construct __ex post__ measures of daily volatility. This paper uses a Bayesian model‐averaging approach to forecast realized volatility. Candidate models include au