Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables

Autor:	Nima Nonejad
Rok vydání:	2021
Předmět:	050208 finance Process (engineering) 05 social sciences Aggregate (data warehouse) Equity (finance) Bayesian inference Conditional volatility 0502 economics and business Econometrics Economics Conditioning 050207 economics General Economics Econometrics and Finance Finance
Zdroj:	Quantitative Finance. 21:1387-1411
ISSN:	1469-7696 1469-7688
DOI:	10.1080/14697688.2021.1901970
Popis:	This study revisits the topic of predicting aggregate equity returns out-of-sample by conditioning on economic variables through Bayesian model averaging (BMA). Besides simultaneously addressing pa...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::eba90ef03f9609baa03c9d051798f4de https://doi.org/10.1080/14697688.2021.1901970 Zobrazit plný text záznamu