increases. The proposed estimation method, coupled with dynamic model averaging and selection, is adopted to forecast S&P 500 …

evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the financial …

points in time. In this paper, we use dynamic model averaging and dynamic model selection to achieve this goal. These methods … find that the set of predictors changes substantially over time. Furthermore, our results show that dynamic model averaging …

points in time. In this paper, we use dynamic model averaging and dynamic model selection to achieve this goal. These methods … variables, we find that the set of predictors changes substantially over time. Furthermore, our results show that dynamic model … averaging and model selection can greatly improve forecast performance relative to traditional forecasting methods. …

over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the …nancial variables …