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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

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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