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Bayesian Forecasting of Stock Returns on the JSE using Simultaneous Graphical Dynamic Linear Models. (2023). Kyakutwika, Nelson ; Bartlett, Bruce.
In: Papers.
RePEc:arx:papers:2307.08665.

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  1. Griveau-Billion, T., & Calderhead, B. (2019). A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. 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.
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  2. 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/10.1214/15BA946 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.

  3. Kyakutwika, N. (2022). Bayesian Forecasting of Stock Returns using Simultaneous Graphical Dynamic Linear Models [Master’s thesis, Stellenbosch University]. http://scholar.sun.ac.za/handle/10019.1/126128 Petris, Giovanni., Petrone, Sonia., & Campagnoli, Patrizia. (2009). Dynamic linear models with R. Springer-Verlag.
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  4. Prado, R., & West, M. (2010). Time Series: Modeling, Computation & Inference (1st ed.). Chapman & Hall/CRC Press. http://www.stat.duke.edu/ Ramachandran, K. M., & Tsokos, C. P. (2014). Mathematical Statistics with Applications in R. Elsevier.
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  5. West, M. (2020). Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. Annals of the Institute of Statistical Mathematics, 72(1). https://doi.org/10.1007/s10463019 -00741-3 Xie, M. (2021). Multivariate Dynamic Modeling and Bayesian Decision Analysis for Macroeconomic Policy [Doctoral dissertation, Duke University]. https://dukespace.lib.duke.edu/dspace/handle/10161/24416

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