Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables-Reference-Cited by-同舟云学术

Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables

Published:2021-06-15 Issue:8 Volume:21 Page:1387-1411
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Nonejad Nima¹

Affiliation:

1. Danske Bank and CREATES, Laksegade 8, 1063 København, Denmark

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1901970

Reference77 articles.

1. Forecasting the Price of Oil

2. Stock Return Predictability: Is it There?

3. Stock return predictability and model uncertainty

4. Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

5. Forecasting Equity Premia Using Bayesian Dynamic Model Averaging

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