This paper mainly deals with the Bayesian statistical inference theory on the VAR(p) forecasting model based on the parameters’ Minnesota conjugate prior distribution,including the prior distribution’s structure, th...This paper mainly deals with the Bayesian statistical inference theory on the VAR(p) forecasting model based on the parameters’ Minnesota conjugate prior distribution,including the prior distribution’s structure, the parameters’ posterior distribution, and compares the forecasting accuracy of AR,VAR and BVAR model.展开更多
The paper proposes a new approach -- The decomposition-based vector autoregressive （DVAR） model to scrutinize the predictability of the UK stock market. Empirical studies performed on the monthly British FTSE100 ind...The paper proposes a new approach -- The decomposition-based vector autoregressive （DVAR） model to scrutinize the predictability of the UK stock market. Empirical studies performed on the monthly British FTSE100 index over 1984-2012 confirm that the DVAR model does provide informative forecasts for both in-sample and out-of-sample forecasts. Trading strategies based on the DVAR forecasts can Significantly beat the simple buy-and-hold, which demonstrates the valuable information provided by technical analysis in the UK stock market.展开更多
文摘This paper mainly deals with the Bayesian statistical inference theory on the VAR(p) forecasting model based on the parameters’ Minnesota conjugate prior distribution,including the prior distribution’s structure, the parameters’ posterior distribution, and compares the forecasting accuracy of AR,VAR and BVAR model.
基金supported by Social Science Foundation of Ministry of Education of China under Grant No.12YJC790001National Social Science Foundation of China under Grant No.12CJY117+1 种基金the National Natural Science Foundation of China under Grant Nos.71003057 and 71373262the Program for Innovative Research Team and“211”Program in UIBE
文摘The paper proposes a new approach -- The decomposition-based vector autoregressive （DVAR） model to scrutinize the predictability of the UK stock market. Empirical studies performed on the monthly British FTSE100 index over 1984-2012 confirm that the DVAR model does provide informative forecasts for both in-sample and out-of-sample forecasts. Trading strategies based on the DVAR forecasts can Significantly beat the simple buy-and-hold, which demonstrates the valuable information provided by technical analysis in the UK stock market.
