• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Introduction in Genome-Wide Data Analysis
      • Inequalities in Health and Healthcare
      • Crash Course in Experimental Economics
      • Econometric Methods for Forecasting and Data Science
      • Behavioral Macro and Complexity
  • Times

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