Bayesian reconciliation of return predictability

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DOI10.1515/snde-2022-0110MaRDI QIDQ6645244

Borys Koval, Sylvia Frühwirth-Schnatter, Leopold Sögner

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayes factor VAR shrinkage priors return predictability Bayesian control function approach

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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