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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Monica Billio (), Roberto Casarin (), Francesco Ravazzolo () and Herman van Dijk

No 11-082/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise.

Keywords: Density Forecast Combination; Stock data (search for similar items in EconPapers)
JEL-codes: C11 C15 C53 E37 (search for similar items in EconPapers)
Date: 2011-05-17
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