Comparing And Evaluating Bayesian Predictive Distributions Of Asset Returns

Elsevier Science Bv
Publication Type:
Journal Article
International Journal of Forecasting, 2010, 26 (2), pp. 216 - 230
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Bayesian inference in a time series model provides exact out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, usin
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