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~isPartOf:"CREATES research paper"
~isPartOf:"Norges Bank Working Paper"
~isPartOf:"Tinbergen Institute Discussion Paper"
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Search: subject:"Bayesian"
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Bayes-Statistik
10
Prognoseverfahren
9
Bayesian inference
5
Modellierung
5
Zeitreihenanalyse
5
Bayesian Inference
4
Density Combination
4
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Ravazzolo, Francesco
van Dijk, Herman K.
32
Hoogerheide, Lennart
21
Casarin, Roberto
15
Basturk, Nalan
14
Grassi, Stefano
12
Paap, Richard
10
Billio, Monica
9
Bos, Charles S.
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van Dijk, H. K.
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Ando, Tomohiro
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Cakmakli, Cem
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Cross, Jamie
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3
Ardia, David
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Lanne, Markku
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Luoto, Jani
3
Mahieu, Ronald J.
3
Pozzi, Lorenzo
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Proietti, Tommaso
3
Zellner, Arnold
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van Dijk, Dick
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van den Hauwe, Sjoerd
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Barra, Istvan
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2
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2
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2
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2
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CREATES research paper
Norges Bank Working Paper
Tinbergen Institute Discussion Paper
Discussion paper / Tinbergen Institute
18
Working Paper
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Tinbergen Institute Discussion Papers
11
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11
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EconStor
12
ECONIS (ZBW)
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1
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2022
state-space form, efficient simulation-based
Bayesian
inference is proposed using parallel sequential clustering as well as …
Persistent link: https://www.econbiz.de/10013356469
Saved in:
2
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2022
, efficient simulation-based
Bayesian
inference is proposed using parallel dynamic clustering as well as nonlinear filtering …
Persistent link: https://www.econbiz.de/10013356509
Saved in:
3
A
Bayesian
Dynamic Compositional Model for Large Density Combinations in Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2021
A
Bayesian
dynamic compositional model is introduced that can deal with combining a large set of predictive densities …
Persistent link: https://www.econbiz.de/10012605982
Saved in:
4
Parallel sequential Monte Carlo for efficient density combination : the Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2013
Persistent link: https://www.econbiz.de/10009730084
Saved in:
5
Combination Schemes for Turning Point Predictions
Billio, Monica
;
Casarin, Roberto
;
Ravazzolo, Francesco
; …
-
2013
business cycle analysis. In order to account for parameter uncertainty we consider a
Bayesian
approach to both estimation and …
Persistent link: https://www.econbiz.de/10014158444
Saved in:
6
Combination Schemes for Turning Point Predictions
Billio, Monica
-
2012
business cycle analysis. In order to account for parameter uncertainty we consider a
Bayesian
approach to both estimation and …
Persistent link: https://www.econbiz.de/10013114226
Saved in:
7
Bayesian
Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica
-
2012
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10013114729
Saved in:
8
Combining Predictive Densities Using
Bayesian
Filtering with Applications to US Economics Data
Billio, Monica
-
2012
Using a
Bayesian
framework this paper provides a multivariate combination approach to prediction based on a …
Persistent link: https://www.econbiz.de/10013115354
Saved in:
9
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 …
Persistent link: https://www.econbiz.de/10011403538
Saved in:
10
Interconnections between Eurozone and US Booms and Busts using a
Bayesian
Panel Markov-Switching VAR Mode
Billio, Monica
;
Casarin, Roberto
;
Ravazzolo, Francesco
; …
-
2015
Bayesian
approach in which an efficient multi-move sampling algorithm is defined to draw time-varying Markov-switching chains …
Persistent link: https://www.econbiz.de/10011403575
Saved in:
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