... and building financial index price forecasting. For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This is because such predictions carry significant market implications for financial index prices and their movements (Wang...

...Katsuhiro Sugita Purpose The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector autoregressive (VAR) models. Design/methodology/approach The paper adopts Bayesian VAR models with three different priors – independent Normal-Wishart prior...