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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References listed on IDEAS
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- Yang Y., 2001. "Adaptive Regression by Mixing," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 574-588, June.
- Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
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5027, National Bureau of Economic Research, Inc.
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- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- John Y. Campbell, 1985.
"Stock Returns and the Term Structure,"
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1626, National Bureau of Economic Research, Inc.
- 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 405-28.
- 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.
- 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.
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