Simple bayesian forecast combination

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)

Abstract

In this paper, it is proposed to combine the forecasts using a simple Bayesian forecast combination algorithm. The algorithm is applied to forecasts from three non-nested diffusion models for S shaped processes like virus diffusion. An illustration to daily data on first-wave cumulative Covid-19 cases in the Netherlands shows the ease of use of the algorithm and the accuracy of the newly combined forecasts.

Original languageEnglish
Article number2050016
JournalAnnals of Financial Economics
Volume15
Issue number4
DOIs
Publication statusPublished - 6 Feb 2021

Bibliographical note

Publisher Copyright:
© 2020 World Scientific Publishing Company.

Fingerprint

Dive into the research topics of 'Simple bayesian forecast combination'. Together they form a unique fingerprint.

Cite this