Forecast density combinations of dynamic models and data driven portfolio strategies

Published 2018 View Full Article

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Title
Forecast density combinations of dynamic models and data driven portfolio strategies
Authors
Keywords
Forecast combination, Momentum strategy, Filtering methods, Bayes estimates
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2018-11-13
DOI
10.1016/j.jeconom.2018.11.011

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