In this paper, it is proposed to combine the forecasts using a simple Bayesian forecast combination algorithm. The algorithm is applied to forecasts from three non-nested diffusion models for S shaped processes like virus diffusion. An illustration to daily data on first-wave cumulative Covid-19 cases in the Netherlands shows the ease of use of the algorithm and the accuracy of the newly combined forecasts.

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Annals of Financial Economics
Department of Econometrics

Franses, P. H. (2021). Simple bayesian forecast combination. Annals of Financial Economics. doi:10.1142/S2010495220500165