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15-084/III - Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance


  • Authors
    Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Kent, United Kingdom; Francesco Ravazzolo, Norges Bank, Norway; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands
  • Publication date
    March 24, 2016
  • Keywords
    Density Combination, Large Set of Predictive Densities, Compositional Factor Models, Nonlinear State Space, Bayesian Inference, GPU Computing
  • JEL
    C11, C15, C53, E37