Optimal Prediction Pools
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References listed on IDEAS
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
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Keywordsforecasting; GARCH; log scoring; Markov mixture; model combination; S&P 500 returns; stochastic volatility;
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