Forecasting stock prices using a hierarchical Bayesian approach

Lynn Kuo, Jun Ying and Gim S. Seow
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Lynn Kuo: University of Connecticut, USA, Postal: University of Connecticut, USA
Jun Ying: Indiana University School of Medicine, USA, Postal: Indiana University School of Medicine, USA
Gim S. Seow: University of Connecticut, USA, Postal: University of Connecticut, USA

Journal of Forecasting, 2005, vol. 24, issue 1, 39-59

Abstract: The Ohlson model is evaluated using quarterly data from stocks in the Dow Jones Index. A hierarchical Bayesian approach is developed to simultaneously estimate the unknown coefficients in the time series regression model for each company by pooling information across firms. Both estimation and prediction are carried out by the Markov chain Monte Carlo (MCMC) method. Our empirical results show that our forecast based on the hierarchical Bayes method is generally adequate for future prediction, and improves upon the classical method. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:24:y:2005:i:1:p:39-59

DOI: 10.1002/for.933

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