Browsing 14 Economics by Author "Amisano, Gianni"

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Browsing 14 Economics by Author "Amisano, Gianni"

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  • Geweke, John; Amisano, Gianni (Elsevier Science Bv, 2010)
    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 ...
  • Geweke, John; Amisano, Gianni (John Wiley and Sons, 2011)
    Abstract: Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new model for time series. This model is ...
  • Geweke, John; Amisano, Gianni (Elsevier Science Sa, 2011)
    We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal ...
  • Geweke, John; Amisano, Gianni (Amer Economic Assoc, 2012)
    Many decision-makers in the public and private sectors routinely consult the im- plications of formal economic and statistical models in their work. Especially in large organizations and for important decisions, there ...