Time series data poses a significant variation to the traditional segmentation techniques of data mining because the observation is derived from multiple instances of the same underlying record. Additionally, the standard segmentation methods employed in traditional clustering require instances...

This paper employs Bayesian dynamic linear forecasting techniques to investigate the factors driving the predictability of Australian stock market. The unanticipated components of a set of economic and financial variables are chosen as the proxies for the economic risk factors that influence the...