Time-varying combinations of predictive densities using nonlinear filtering
From MaRDI portal
Publication:2453082
DOI10.1016/j.jeconom.2013.04.009zbMath1288.62136MaRDI QIDQ2453082
Roberto Casarin, Francesco Ravazzolo, Monica Billio, Hermann K. Van Dijk
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://papers.tinbergen.nl/12118.pdf
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
91B84: Economic time series analysis
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