A loss discounting framework for model averaging and selection in time series models-Reference-Cited by-同舟云学术

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A loss discounting framework for model averaging and selection in time series models

Published:2024-10 Issue:4 Volume:40 Page:1721-1733
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Bernaciak Dawid^ORCID,Griffin Jim E.

Publisher

Elsevier BV

Reference37 articles.

1. A scapegoat model of exchange-rate fluctuations;Bacchetta;American Economic Review,2004

2. The combination of forecasts;Bates;Journal of the Operational Research Society,1969

3. Exchange rate predictability and dynamic Bayesian learning;Beckmann;Journal of Applied Econometrics,2020

4. Bayesian theory;Bernardo,2009

5. Time-varying combinations of predictive densities using nonlinear filtering;Billio;Journal of Econometrics,2013

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