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

DOI10.1016/J.JECONOM.2022.11.004MaRDI QIDQ6090582zbMATH OpenFDO

Authors Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. Van Dijk

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/J.JECONOM.2022.11.004

zbMATH Keywords

Bayesian inferencedensity combinationdynamic factor modelslarge set of predictive densitiesnonlinear state-space

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(5)

• Predictive Macro-Finance With Dynamic Partition Models
• scientific article; zbMATH DE number 2010134 (Why is no real title available?)
• Challenges and opportunities for twenty first century Bayesian econometricians: a personal view
• Predictive density combination using Bayesian machine learning
• Bayesian dynamic quantile model averaging

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