A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
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More about this item
Keywords
Density Combination; Large Set of Predictive Densities; Dynamic Factor Models; Nonlinear state-space; Bayesian Inference;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-03-07 (Econometrics)
- NEP-MAC-2022-03-07 (Macroeconomics)
- NEP-ORE-2022-03-07 (Operations Research)
- NEP-RMG-2022-03-07 (Risk Management)
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