Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2011-05-17
Number: 11-082/4
Author-Name: Monica Billio
Author-Workplace-Name: University of Venice, GRETA Assoc. and School for Advanced Studies in Venice
Author-Name: Roberto Casarin
Author-Workplace-Name: University of Venice, GRETA Assoc. and School for Advanced Studies in Venice
Author-Name: Francesco Ravazzolo
Author-Workplace-Name: Norges Bank
Author-Name: Herman K. van Dijk
Author-Workplace-Name: Erasmus University Rotterdam
Title: Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Abstract: We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise.
Classification-JEL: C11, C15, C53, E37
Keywords: Density Forecast Combination, Stock data
File-Url: https://papers.tinbergen.nl/11082.pdf
File-Format: application/pdf
File-Size: 143835 bytes
Handle: RePEc:tin:wpaper:20110082