Richard Kleijn

affiliation not provided to SSRN

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Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

Tinbergen Institute Discussion Paper 09-061/4
Number of pages: 28 Posted: 17 Jul 2009
VU University Amsterdam, affiliation not provided to SSRN, Free University of Bozen-Bolzano - Faculty of Economics and Management, Tinbergen Institute and Erasmus University - Rotterdam School of Management
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Citation 17

Abstract:

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forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle