A Bayesian dynamic compositional model for large density combinations in finance
Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. van Dijk
| Year of publication: |
[2020]
|
|---|---|
| Authors: | Casarin, Roberto ; Grassi, Stefano ; Ravazzolo, Francesco ; Dijk, Herman K. van |
| Publisher: |
[Waterloo, Ontario] : Rimini Centre for Economic Analysis |
| Subject: | Density Combination | Large Set of Predictive Densities | Compositional Factor Models | Nonlinear State Space | Bayesian Inference | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Theorie | Theory | Zustandsraummodell | State space model | Monte-Carlo-Simulation | Monte Carlo simulation |
freely available