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