Comparing And Evaluating Bayesian Predictive Distributions Of Asset Returns

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dc.contributor.author Geweke, John en_US
dc.contributor.author Amisano, Gianni en_US
dc.contributor.editor en_US
dc.date.accessioned 2011-02-07T06:25:58Z
dc.date.available 2011-02-07T06:25:58Z
dc.date.issued 2010 en_US
dc.identifier 2009008550 en_US
dc.identifier.citation Geweke John and Amisano Gianni 2010, 'Comparing And Evaluating Bayesian Predictive Distributions Of Asset Returns', Elsevier Science Bv, vol. 26, no. 2, pp. 216-230. en_US
dc.identifier.issn 0169-2070 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/13914
dc.description.abstract Bayesian inference in a time series model provides exact out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, usin en_US
dc.language en_US
dc.publisher Elsevier Science Bv en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.ijforecast.2009.10.007 en_US
dc.title Comparing And Evaluating Bayesian Predictive Distributions Of Asset Returns en_US
dc.parent International Journal of Forecasting en_US
dc.journal.volume 26 en_US
dc.journal.number 2 en_US
dc.publocation Amsterdam en_US
dc.identifier.startpage 216 en_US
dc.identifier.endpage 230 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140300 en_US
dc.personcode 101228 en_US
dc.personcode 0000053741 en_US
dc.percentage 100 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity ISI:000276707900002 en_US
dc.description.keywords Density Forecasts; Risk-Management; Models; Series en_US


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