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SUMMARY:Improving ARMA-GARCH Forecasting - Prof Petros Dellaportas\, Athen
 s University
DTSTART:20101027T131500Z
DTEND:20101027T141500Z
UID:TALK26959@talks.cam.ac.uk
CONTACT:Rachel Fogg
DESCRIPTION:We exploit the partial exchangeability structure of the \npara
 meters of many ARMA-GARCH models to borrow strength for univariate forecas
 ting. We adopt a challenging reversible jump MCMC scheme and we test our f
 orecasts via a S&P100 dataset.\n
LOCATION:LR5\, Engineering\, Department of
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