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  • 标题:Comparing and evaluating Bayesian predictive distributions of assets returns
  • 本地全文:下载
  • 作者:John Geweke ; Gianni Amisano
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2008
  • 卷号:1
  • 出版社:European Central Bank
  • 摘要:Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative models of asset returns applied to daily S&P 500 returns from 1976 through 2005. The comparison exercise uses predictive likelihoods and is inherently Bayesian. The evaluation exercise uses the probability integral transform and is inherently frequentist. The illustration shows that the two approaches can be complementary, each identifying strengths and weaknesses in models that are not evident using the other.
  • 关键词:forecasting; GARCH; inverse probability transform; Markov mixture;predictive likelihood; S&P 500 returns; stochastic volatility.
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