Abstract
Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. © 2012 Elsevier B.V.
| Original language | English |
|---|---|
| Pages (from-to) | 322-325 |
| Number of pages | 4 |
| Journal | Economics Letters |
| Volume | 116 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2012 |
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