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Multivariate probabilistic forecasting using ensemble Bayesian model averaging and copulas

✍ Scribed by Annette Möller; Alex Lenkoski; Thordis L. Thorarinsdottir

Book ID: 115561793
Publisher: John Wiley and Sons
Year: 2012
Tongue: English
Weight: 433 KB
Volume: 139
Category: Article
ISSN: 0035-9009
DOI: 10.1002/qj.2009

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## Abstract Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time‐varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time