• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Econometrics and Data Science Methods for Business, Economics and Finance
      • Networks in Micro- and Macroeconomics
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
  • Alumni
  • Times

22-013/III - A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

  • Authors
    Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzollo, BI Norwegian Business School; Herman van Dijk, Erasmus University Rotterdam
  • Publication date
    February 14, 2022
  • Keywords
    Density Combination, Large Set of Predictive Densities, Dynamic Factor Models, Nonlinear state-space, Bayesian Inference
  • JEL
    C11, C15, C53, E37