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

DOI10.1016/j.jeconom.2022.11.004MaRDI QIDQ6090582

Roberto Casarin, Hermann K. Van Dijk, Francesco Ravazzolo, Stefano Grassi

Publication date: 17 November 2023

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

zbMATH Keywords

Bayesian inferencedynamic factor modelsdensity combinationlarge 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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