Ravazzolo, F.; Dijk, H.K. van; Verbeek, M.J.C.M. - Erasmus University Rotterdam, Econometric Institute - 2007
uncertainty, model uncertainty and time varying model weights, are compared in terms of forecast accuracy over a set of simulation … included predictors and the number of included models is explored. Given the set up of our experiments, time varying model … application using returns on the S&P 500 index, time varying model weights provide improved forecasts with substantial economic …