• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

09-061/4 - Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights


  • Authors
    Lennart Hoogerheide, Erasmus University Rotterdam; Richard Kleijn, PGGM, Zeist; Francesco Ravazzolo, Norges Bank; Herman K. van Dijk, Erasmus University Rotterdam; Marno Verbeek, Erasmus University Rotterdam
  • Publication date
    July 16, 2009
  • Keywords
    forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle
  • JEL
    C11, C15, C22, C53, G11