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19-025/III - Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance


  • Authors
    Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi , University of Rome `Tor Vergata'; Francesco Ravazzollo , BI Norwegian Business School; Herman K. van Dijk , Erasmus University Rotterdam
  • Publication date
    April 1, 2019
  • Keywords
    Forecast combinations, Particle filters, Bayesian inference, State Space Models, Sequential Monte Carlo
  • JEL
    C11, C14, C15