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Markov-switching three-pass regression filter
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2016 - This version: November, 2016
Persistent link: https://www.econbiz.de/10011805831
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - 2018 - This version: February, 2018
Persistent link: https://www.econbiz.de/10011920747
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Forecasting macroeconomic variables using diffusion indexes in short samples with structural change
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2008
Persistent link: https://www.econbiz.de/10003913416
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2020
Persistent link: https://www.econbiz.de/10012384654
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Parallel sequential Monte Carlo for efficient density combination : the DeCo Matlab toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013
Persistent link: https://www.econbiz.de/10011631741