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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