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Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns, CQER Working Paper 09-04

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Federal Reserve Bank of Atlanta. "Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns, CQER Working Paper 09-04" in Center for Quantitative Economic Research Working Papers (October 26, 2009). https://fraser.stlouisfed.org/title/7165/item/656235, accessed on June 17, 2024.

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JEL classification: C11, C53

Key words: forecasting, GARCH, inverse probability transform, Markov-mixture, predictive likelihood, S&P 500 returns, stochastic volatility