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21-016/III - A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance

  • Authors
    Roberto Casarin, University Ca'Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzolo, Free University of Bozen-Bolsano; Herman K. van Dijk, Erasmus University Rotterdam
  • Publication date
    February 10, 2021
  • Keywords
    Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference
  • JEL
    E37, C15, C11, C53