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12-118/III - Time-varying Combinations of Predictive Densities using Nonlinear Filtering

  • Authors
    Monica Billio, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Roberto Casarin, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Francesco Ravazzolo, Norges Bank and BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam
  • Publication date
    November 7, 2012
  • Keywords
    Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
  • JEL
    C11, C15, C53, E37
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