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Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions


  • Chih-Ling Tsai


  • Hansheng Wang


  • Ning Zhu



No abstract is available for this item.

Suggested Citation

  • Chih-Ling Tsai & Hansheng Wang & Ning Zhu, 2010. "Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 109-116, February.
  • Handle: RePEc:spr:aistmt:v:62:y:2010:i:1:p:109-116 DOI: 10.1007/s10463-009-0250-4

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    References listed on IDEAS

    1. Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January.
    2. Burton G. Malkiel, 2004. "Models Of Stock Market Predictability," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(4), pages 449-459.
    3. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    4. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-428.
    5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    6. Yang Y., 2001. "Adaptive Regression by Mixing," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 574-588, June.
    7. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
    8. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
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