• Graduate Programs
    • Tinbergen Institute Research Master in Economics
      • Why Tinbergen Institute?
      • Research Master
      • Admissions
      • Course Registration
      • PhD Vacancies
      • Selected PhD Placements
    • Facilities
    • Browse our Courses
    • Research Master Business Data Science
    • PhD Vacancies
  • Research
  • Browse our Courses
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Deep Learning
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From Preference to Choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Machine Learning for Business
      • Marketing Research with Purpose
      • Sustainable Finance
      • Tuition Fees and Payment
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Job Market Candidates
  • Alumni
    • PhD Theses
    • Master Theses
    • Selected PhD Placements
    • Key alumni publications
    • Alumni Community

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
Download here