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....

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....

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 ¯nancial and macroeconomic time series....

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....

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

The persistent nature of equity volatility is investigated by means of a multi-factor stochastic volatility model with time varying parameters. The parameters are estimated by means of a sequential matching procedure which adopts as an auxiliary model a time-varying generalization of the HAR...

Several frequentist and Bayesian model averaging schemes, including a new one that simultaneously allows for parameter uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation experiments. Artificial data are generated,...