Bayesian Reconciliation of Return Predictability

Koval, Borys; Frühwirth-Schnatter, Sylvia and Sögner, LeopoldORCID: (2023) Bayesian Reconciliation of Return Predictability. Studies in Nonlinear Dynamics & Econometrics.

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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
Research Units: Current Research Groups > Macroeconomics and Business Cycles
Date Deposited: 16 Jan 2024 09:14
Last Modified: 24 Apr 2024 14:11
DOI: 10.1515/snde-2022-0110
ISSN: 1081-1826

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