Bayesian Reconciliation of Return Predictability

Koval, Borys; Frühwirth-Schnatter, Sylvia and Sögner, LeopoldORCID: https://orcid.org/0000-0001-5388-0601 (2023) Bayesian Reconciliation of Return Predictability. Studies in Nonlinear Dynamics & Econometrics, 28 (2). https://doi.org/10.1515/snde-2022-0110

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Item Type:	Article in Academic Journal
Keywords:	VAR, return predictability, Bayesian control function approach, shrinkage priors, Bayes Factor
Funders:	Austrian Science Fund (FWF)
Classification Codes (e.g. JEL):	C11, C58, G12
Former Research Units:	Former Research Groups (until 2024) > Macroeconomics and Business Cycles
Date Deposited:	16 Jan 2024 09:14
Last Modified:	06 Jun 2025 13:57
DOI:	10.1515/snde-2022-0110
ISSN:	1081-1826
URI:	https://irihs.ihs.ac.at/id/eprint/6874

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