A flexible predictive density combination for large financial data sets in regular and crisis periods
Year of publication: |
2023
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Authors: | Casarin, Roberto ; Grassi, Stefano ; Ravazzolo, Francesco ; Dijk, Herman K. van |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,3, p. 1-12
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Subject: | Bayesian inference | Density combination | Dynamic factor models | Large set of predictive densities | Nonlinear state-space | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Bayes-Statistik | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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