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