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