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