22-053/III - A Flexible Predictive Density Combination 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 Ravazzolo, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam
• Publication date
  August 9, 2022

• Keywords
  Density Combination, Large Set of Predictive Densities, Dynamic Factor Models, Nonlinear state-space, Bayesian Inference
• JEL
  C11, C15, C53, E37