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