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A Bayesian Dirichlet autoregressive conditional heteroskedasticity model for forecasting currency shares

Harrison Katz & Robert E. Weiss

International Journal of Forecasting2026https://doi.org/10.1016/j.ijforecast.2026.02.002article
AJG 3ABDC A
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https://doi.org/https://doi.org/10.1016/j.ijforecast.2026.02.002

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@article{harrison2026,
  title        = {{A Bayesian Dirichlet autoregressive conditional heteroskedasticity model for forecasting currency shares}},
  author       = {Harrison Katz & Robert E. Weiss},
  journal      = {International Journal of Forecasting},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.ijforecast.2026.02.002},
}

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A Bayesian Dirichlet autoregressive conditional heteroskedasticity model for forecasting currency shares

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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