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~person:"van Dijk, Herman K."
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Gibbs sampler
7
Bayesian Inference
3
Density Combination
3
Large Set of Predictive Densities
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MCMC
3
reduced rank models
3
seasonality
3
state space models
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van Dijk, Herman K.
Koopman, Siem Jan
165
Stark, Oded
51
Koop, Gary
42
Lucas, André
30
Grassi, Stefano
28
Proietti, Tommaso
28
Bos, Charles S.
26
Schwaab, Bernd
25
Martin, Gael M.
21
Dijk, Herman K. van
20
Lucas, Andre
20
Ooms, Marius
20
Schlicht, Ekkehart
20
Snyder, Ralph D.
19
Chan, Joshua
18
Casarin, Roberto
16
Chan, Joshua C. C.
16
Hindrayanto, Irma
16
Morris, Stephen
16
Pozzi, Lorenzo
16
Hyndman, Rob J.
15
Marczak, Martyna
15
Raknerud, Arvid
15
Schorfheide, Frank
15
Aizenman, Joshua
14
Jinjarak, Yothin
14
Zadrozny, Peter A.
14
Björk, Tomas
13
Jungbacker, Borus
13
Kosiorowski, Grzegorz
13
Nijkamp, Peter
13
Sun, Yeneng
13
Vinokurov, Evgeny
13
Wel, Michel van der
13
Heifetz, Aviad
12
Meier, Martin
12
Ravazzolo, Francesco
12
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12
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12
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
5
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Tinbergen Institute Discussion Paper
8
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5
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1
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EconStor
9
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5
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1
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2022
weights to relatively small subsets. Given the representation of the probability model in extended nonlinear state-
space
form …
Persistent link: https://www.econbiz.de/10013356509
Saved in:
2
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2021
class-preserving property of the logistic-normal is used to reduce the dimension of the latent
space
and to build a … partitions the large set of predictive densities into a smaller number of subsets. We exploit the state
space
form of the model …
Persistent link: https://www.econbiz.de/10012605982
Saved in:
3
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzollo, Francesco
; …
-
2019
mixture in nonlinear state
space
form. An efficient simulation-based Bayesian inferential procedure is proposed using parallel …
Persistent link: https://www.econbiz.de/10012114778
Saved in:
4
Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
Basturk, Nalan
;
Grassi, Stefano
;
Hoogerheide, Lennart
; …
-
2016
A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...
Persistent link: https://www.econbiz.de/10011586714
Saved in:
5
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2015
A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of mutually exclusive subsets. Using properties of Aitchinson's geometry of the...
Persistent link: https://www.econbiz.de/10011403538
Saved in:
6
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2015
A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of mutually exclusive subsets. Using properties of the Aitchinson's geometry of...
Persistent link: https://www.econbiz.de/10012143868
Saved in:
7
Bayesian near-boundary analysis in basic macroeconomic time series models
De Pooter, Michiel
;
Ravazzolo, Francesco
;
Segers, Rene
; …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2008
error correction models and further state
space
and panel data models are shown to be simple generalizations of these two …
Persistent link: https://www.econbiz.de/10010731830
Saved in:
8
Gibbs sampling in econometric practice
De Pooter, Michiel
;
Segers, Rene
;
van Dijk, Herman K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2006
correlation, the Koyck distributed lag model, the Unit Root model and as Hierarchical Linear Mixed Models, the State-
Space
model …
Persistent link: https://www.econbiz.de/10010731767
Saved in:
9
On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
de Pooter, Michiel D.
;
Segers, René
;
van Dijk, Herman K.
-
2006
Unit Root model, the Instrumental Variables model and as Hierarchical Linear Mixed Models, the State-
Space
model and the …
Persistent link: https://www.econbiz.de/10010325199
Saved in:
10
Bayes model averaging of cyclical decompositions in economic time series
van Dijk, Herman K.
;
Kleijn, Kleijn, R.H.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2003
hierarchical structure of variances in a state
space
model. The model and corresponding inferential procedure are applied to …
Persistent link: https://www.econbiz.de/10010731754
Saved in:
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