Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87064
Authors: 
Billio, Monica
Casarin, Roberto
Ravazzolo, Francesco
van Dijk, Herman K.
Year of Publication: 
2011
Series/Report no.: 
Tinbergen Institute Discussion Paper 11-082/4
Abstract: 
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative purposes we apply it to combine White Noise and GARCH models to forecast the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise.
Subjects: 
Density Forecast Combination
Stock data
JEL: 
C11
C15
C53
E37
Document Type: 
Working Paper

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