Regularizing Bayesian predictive regressions
Year of publication: |
2020
|
---|---|
Authors: | Feng, Guanhao ; Polson, Nicholas G. |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 21.2020, 7, p. 591-608
|
Subject: | Bayesian predictive regression | Prior sensitivity analysis | Maximum a posteriori | Equity-premium predictability | Bond risk premia | Predictor selection | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Regressionsanalyse | Regression analysis | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Theorie | Theory | Sensitivitätsanalyse | Sensitivity analysis | Prognose | Forecast |
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