Simple bayesian forecast combination

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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
Issue number4
Publication statusPublished - 6 Feb 2021

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