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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Asset pricing model uncertainty and portfolio choice
Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014576820
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Can oil prices help predict US stock market returns? : evidence using a dynamic model averaging (DMA) approach
Naser, Hanan; Alaali, Fatema - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1757-1777
Persistent link: https://www.econbiz.de/10011950311
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A Bayesian analysis of lunar effects on stock returns
Liu, Shu-ing; Tseng, Jauling - In: The ICFAI University journal of behavioral finance 6 (2009) 3/4, pp. 67-83
Persistent link: https://www.econbiz.de/10003920580
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Investigating the dynamics of CEE stock index returns with a Bayesian TAR model
Acatrinei, Marius - In: Financial and macroeconomic dynamics in Central and …, (pp. 75-95). 2012
Persistent link: https://www.econbiz.de/10009729232
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A Bayesian Analysis of Lunar Effects on Stock Returns
Liu, Shu-Ing - 2009
some of the discussed Asian markets. In particular, the autocorrelation for consecutive daily returns is significantly …
Persistent link: https://www.econbiz.de/10013156183
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Bayesian Reconciliation of Return Predictability
Koval, Borys; Fruhwirth-Schnatter, Sylvia; Sögner, Leopold - 2022
type prior for this parameter and compare our Bayesian approach to ordinary least squares estimation and to the reduced …
Persistent link: https://www.econbiz.de/10014235883
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Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors
Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64
Persistent link: https://www.econbiz.de/10011590878
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A novel cluster HAR-type model for forecasting realized volatility
Yao, Xingzhi; Izzeldin, Marwan; Li, Zhenxiong - In: International journal of forecasting 35 (2019) 4, pp. 1318-1331
Persistent link: https://www.econbiz.de/10012305326
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Predictive gains from forecast combinations using time varying model weights
Ravazzolo, Francesco (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003746745