Waltham, MA 02454-9110
Brandeis University - Department of Economics
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Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP9377.
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability
structural breaks, forecasting, hierarchical hidden Markov chain model, Bayesian model averaging
File name: SSRN-id621549.
Structural breaks, forecasting, hierarchical hidden Markov Chain Model, Bayesian model averaging
bond returns, yield curve, macro factors, stochastic volatility, time-varying parameters, unspanned macro risk factors
MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth
File name: DP10160.
Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility
present value, stock prices, structural breaks, Bayesian learning
Time-varying parameters, regime switching, change point models, stochastic volatility, GDP growth forecasts, inflation forecasts
File name: DP11355.
GDP growth, inflation, regime switching, stochastic volatility, time-varying parameters
Bayesian econometrics, Time-varying parameters, Model combinations, Portfolio choice
Bayesian VARs, Mixture Prior, Large Datasets, Macroeconomic Forecasting
multivariate time series, random projection, forecasting
entropic tilting, density forecasts, variance risk premium, equity premium, options
File name: DP10104.
Bayesian estimation, bond returns, model uncertainty, stochastic volatility, time-varying parameters
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