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
We summarize the general combination approach by Billio et al. . 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)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20110082
Access Statistics for this paper
More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Series data maintained by Tinbergen Office +31 (0)10-4088900 ().