Ravazzolo, F.; Dijk, H.K. van; Verbeek, M.J.C.M. - Erasmus University Rotterdam, Econometric Institute - 2007
experiments. Artificial data are generated, characterized by low predictability, structural instability, and fat tails, which is … low predictability, structural
instability, and fat tails, which is typical for many financial-economic time series. Sen ….
Keywords: Stock return predictability, time varying weight combination, forecast
combination, Bayesian model averaging
JEL …