Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

Chih-Ling Tsai (), Hansheng Wang () and Ning Zhu

Annals of the Institute of Statistical Mathematics, 2010, vol. 62, issue 1, 109-116

Keywords: Model selection; BIC; Model averaging; Model mixing; Stock predictability; Financial markets (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10463-009-0250-4

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