Bayesian forecasting in economics and finance: A modern review

• Published in: International journal of forecasting Vol. 40; no. 2; pp. 811 - 839
• Main Authors: Martin, Gael M., Frazier, David T., Maneesoonthorn, Worapree, Loaiza-Maya, Rubén, Huber, Florian, Koop, Gary, Maheu, John, Nibbering, Didier, Panagiotelis, Anastasios
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.04.2024
• Subjects: Bayesian computational methods; Bayesian prediction; Electricity demand; Finance; Loss-based Bayesian prediction; Macroeconomics; Marketing; Loss-based Bayesian prediction; Finance; Bayesian computational methods; Bayesian prediction; Macroeconomics; Electricity demand; Marketing

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 vi...