99
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Bayesian forecasting of stock returns on the JSE using simultaneous graphical dynamic linear models*

&
Received 23 Jun 2023, Accepted 26 Jan 2024, Published online: 18 Mar 2024

References

  • Griveau-Billion, T., & Calderhead, B. (2019). A dynamic Bayesian model for interpretable decompositions of market behaviour. Quantitative Finance, Computational Finance: Cornwell University. http://arxiv.org/abs/1904.08153
  • Gruber, L. (2015). Bayesian Modeling of General Multivariate Problems and High-Dimensional Time Series. PhD thesis, Technical University of Munich, Germany. https://mediatum.ub.tum.de/node?id=1246134&change_language=en
  • Gruber, L., & West, M. (2016). GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models. Bayesian Analysis, 11(1), 125–149. https://doi.org/10.1214/15-BA946
  • Gruber, L., & West, M. (2017). Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. Econometrics and Statistics, 3, 3–22. https://doi.org/10.1016/j.ecosta.2017.03.003
  • Hyndman, R. J., & Athanasopoulos, G. (2018). Forecasting: Principles and Practices (2nd ed.). OTexts, Melbourne, Australia. OTexts.com/fpp3
  • Kyakutwika, N. (2022). Bayesian forecasting of stock returns using simultaneous graphical dynamic linear models. Master’s thesis, Stellenbosch University, South Africa. http://scholar.sun.ac.za/handle/10019.1/126128
  • Petris, G. Petrone, Sonia., & Campagnoli, Patrizia. (2009). Dynamic linear models with R. Berlin: Springer-Verlag.
  • Prado, R., & West, M. (2010). Time series: Modeling, computation & inference (1st ed.). New York: Chapman & Hall/CRC Press. https://doi.org/10.1201/9781439882757
  • Ramachandran, K. M., & Tsokos, C. P. (2014). Mathematical statistics with applications in R. London: Elsevier.
  • West, M. (2020). Bayesian forecasting of multivariate time series: Scalability, structure uncertainty and decisions. Annals of the Institute of Statistical Mathematics, 72(1), 1–31. Advance online publication. https://doi.org/10.1007/s10463-019-00741-3
  • West, M., & Harrison, P. J. (1997). Bayesian forecasting and dynamic models (2nd ed.). New York, NY: Springer. https://doi.org/10.1007/b98971
  • Xie, M. (2021). Multivariate dynamic modeling and Bayesian decision analysis for macroeconomic policy. Doctoral dissertation, Duke University, North Carolina, USA. https://dukespace.lib.duke.edu/dspace/handle/10161/24416

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.