Comparing and evaluating Bayesian predictive distributions of asset returns

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Show simple item record Geweke, J Amisano, G 2011-02-07T06:25:58Z 2010-04
dc.identifier.citation International Journal of Forecasting, 2010, 26 (2), pp. 216 - 230
dc.identifier.issn 0169-2070
dc.identifier.other C1 en_US
dc.description.abstract 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, using as an illustration five alternative models of asset returns applied to daily S&P 500 returns from the period 1976 through 2005. The comparison exercise uses predictive likelihoods and is inherently Bayesian. The evaluation exercise uses the probability integral transformation and is inherently frequentist. The illustration shows that the two approaches can be complementary, with each identifying strengths and weaknesses in models that are not evident using the other. © 2009 International Institute of Forecasters.
dc.language eng
dc.relation.isbasedon 10.1016/j.ijforecast.2009.10.007
dc.title Comparing and evaluating Bayesian predictive distributions of asset returns
dc.type Journal Article
dc.description.version Published
dc.description.version Published
dc.parent International Journal of Forecasting
dc.journal.volume 2
dc.journal.volume 26
dc.journal.number 2 en_US
dc.publocation Amsterdam en_US
dc.identifier.startpage 216 en_US
dc.identifier.endpage 230 en_US BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 1403 Econometrics
dc.personcode 101228
dc.percentage 100 en_US Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity ISI:000276707900002 en_US
dc.description.keywords Forecasting
dc.description.keywords GARCH
dc.description.keywords Inverse probability transformation
dc.description.keywords Markov mixture
dc.description.keywords Predictive likelihood
dc.description.keywords S&P 500 returns
dc.description.keywords Stochastic volatility
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true

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