Electronic Resource
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
| العنوان: | Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index |
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| المؤلفون: | Billio, M. (Monica), Casarin, R. (Roberto), Ravazzolo, F. (Francesco), Dijk, H.K. (Herman) van |
| بيانات النشر: | 2011-05-02 |
| نوع الوثيقة: | Electronic Resource |
| مستخلص: | We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise. |
| مصطلحات الفهرس: | density forecast combination, stock data, info:eu-repo/semantics/workingPaper |
| URL: | |
| الاتاحة: | Open access content. Open access content info:eu-repo/semantics/openAccess |
| ملاحظة: | application/pdf Discussion paper / Tinbergen Institute, pp. 1-18 English |
| Other Numbers: | QGQ oai:repub.eur.nl:23459 urn:hdl:1765/23459 929968930 |
| المصدر المساهم: | ERASMUS UNIVERSITEIT ROTTERDAM From OAIster®, provided by the OCLC Cooperative. |
| رقم الانضمام: | edsoai.ocn929968930 |
| قاعدة البيانات: | OAIster |
| الوصف غير متاح. |