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Persistent link: https://www.econbiz.de/10003861024
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 series....
Persistent link: https://www.econbiz.de/10011378346
Persistent link: https://www.econbiz.de/10009724346