Bayesian Model Averaging in the Presence of Structural Breaks

Bayesian Model Averaging in the Presence of Structural Breaks
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Total Pages: 39
Release: 2006
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Bayesian Model Averaging in the Presence of Structural Breaks
Language: en
Pages: 39
Authors:
Categories:
Type: BOOK - Published: 2006 - Publisher:

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Bayesian Model Averaging in the Presence of Structural Breaks
Language: en
Pages: 43
Authors: Francesco Ravazzolo
Categories:
Type: BOOK - Published: 2010 - Publisher:

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This paper develops a return forecasting methodology that allows for instability in the relationship between stock returns and predictor variables, for model un
Forecasting in the Presence of Structural Breaks and Model Uncertainty
Language: en
Pages: 691
Authors: David E. Rapach
Categories: Business & Economics
Type: BOOK - Published: 2008-02-29 - Publisher: Emerald Group Publishing

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Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. Thi
On Bayesian Analysis and Unit Root Testing for Autoregressive Models in the Presence of Multiple Structural Breaks
Language: en
Pages: 0
Authors: Loukia Meligkotsidou
Categories:
Type: BOOK - Published: 2016 - Publisher:

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In this paper we suggest a Bayesian approach for inferring stationary autoregressive models allowing for possible structural changes (known as breaks) in both t
Forecasting Financial Time Series Using Model Averaging
Language: en
Pages: 198
Authors: Francesco Ravazzolo
Categories:
Type: BOOK - Published: 2007 - Publisher: Rozenberg Publishers

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Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this