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A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - In: Journal of econometrics 237 (2023) 2,3, pp. 1-12

Persistent link: https://www.econbiz.de/10014471818

Computational complexity and parallelization in Bayesian econometric analysis

Baştürk, Nalan; Casarin, Roberto; Ravazzolo, Francesco; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10011504585

Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of applied econometrics 31 (2016) 7, pp. 1352-1370

Persistent link: https://www.econbiz.de/10011687515

Combination schemes for turning point predictions

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: The quarterly review of economics and finance : journal … 52 (2012) 4, pp. 402-412

Persistent link: https://www.econbiz.de/10009700545

Time-varying combinations of predictive densities using nonlinear filtering

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of econometrics 177 (2013) 2, pp. 213-232

Persistent link: https://www.econbiz.de/10010254875

Parallelization experience with four canonical econometric models using ParMitISEM

Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-20

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...

Persistent link: https://www.econbiz.de/10011504818