REAL-TIME ECONOMETRICS

DOI10.1017/S0266466605050139zbMath1074.62075OpenAlexW3123326327MaRDI QIDQ5697632

M. Hashem Pesaran, Allan G. Timmermann

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466605050139

zbMATH Keywords

predictionmodel selectioncross-validationfinancemodel averagingfeedback effects

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Decision theory (91B06) Management decision making, including multiple objectives (90B50) Statistical decision theory (62C99)

Related Items (3)

An automated econometric decision support system: forecasts for foreign exchange trades ⋮ RECURSIVE FORECAST COMBINATION FOR DEPENDENT HETEROGENEOUS DATA ⋮ Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities

Cites Work

• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• `Keep it real!': A real-time UK macro data set
• Bayes Factors
• Econometric Model Determination
• Benchmark priors for Bayesian model averaging.
• A real-time data set for macroeconomists
• Dangers of data mining: The case of calendar effects in stock returns

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