Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
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Volume (Year): 62 (2010)
Issue (Month): 1 (February)
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- Lo, Andrew W. & Mackinlay, A. Craig, 1997.
"Maximizing Predictability In The Stock And Bond Markets,"
Cambridge University Press, vol. 1(01), pages 102-134, January.
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- Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
- Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
- 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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