12-118/III - Time-varying Combinations of Predictive Densities using Nonlinear Filtering

• Authors
  Monica Billio, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Roberto Casarin, University of Venice, GRETA Assoc. and School for Advanced Studies in Venice; Francesco Ravazzolo, Norges Bank and BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam, VU University Amsterdam
• Publication date
  November 7, 2012

• Keywords
  Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
• JEL
  C11, C15, C53, E37