) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of …-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional …

) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of …-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional …

) specifications and survey forecasts by optimally exploiting their properties. To do that, it compares the forecasting performance of …-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional …

This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock …, and for uncertainty about the inclusion of forecasting variables, and about the parameter values by em ploying Bayesian … from a passive buy-and-hold strategy to an active strategy based on a return forecasting model that allows for model and …

We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting … the context of stock return predictability and optimal portfolio decisions, and investigate its forecasting performance …

We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting … in the context of stock return predictability and optimal portfolio decisions, and investigate its forecasting perfor …