Bayesian forecasting in economics and finance : a modern review
Martin, Gael M. and Frazier, David T. and Maneesoonthorn, Worapree and Loaiza-Maya, Rubén and Huber, Florian and Koop, Gary and Maheu, John and Nibbering, Didier and Panagiotelis, Anastasios (2024) Bayesian forecasting in economics and finance : a modern review. International Journal of Forecasting, 40 (2). pp. 811-839. ISSN 0169-2070 (https://doi.org/10.1016/j.ijforecast.2023.05.002)
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Abstract
The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting. Uncertainty about all unknowns that characterize any forecasting problem – model, parameters, latent states – is able to be quantified explicitly and factored into the forecast distribution via the process of integration or averaging. Allied with the elegance of the method, Bayesian forecasting is now underpinned by the burgeoning field of Bayesian computation, which enables Bayesian forecasts to be produced for virtually any problem, no matter how large or complex. The current state of play in Bayesian forecasting in economics and finance is the subject of this review. The aim is to provide the reader with an overview of modern approaches to the field, set in some historical context, with sufficient computational detail given to assist the reader with implementation.
ORCID iDs
Martin, Gael M., Frazier, David T., Maneesoonthorn, Worapree, Loaiza-Maya, Rubén, Huber, Florian, Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X, Maheu, John, Nibbering, Didier and Panagiotelis, Anastasios;-
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Item type: Article ID code: 85817 Dates: DateEvent1 April 2024Published5 March 2024Published Online6 June 2023Accepted8 March 2023SubmittedSubjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 16 Jun 2023 00:46 Last modified: 11 Oct 2024 11:30 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/85817