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~isPartOf:"Tinbergen Institute Discussion Paper"
~isPartOf:"Norges Bank Working Paper"
~person:"Ravazzolo, Francesco"
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Search: subject:"Bayesian"
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Bayes-Statistik
9
Prognoseverfahren
8
Modellierung
5
Bayesian Inference
4
Bayesian inference
4
Density Combination
4
Large Set of Predictive Densities
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Bayesian Filtering
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forecast combination
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Affine term structure model
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Aktienindex
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Ravazzolo, Francesco
van Dijk, Herman K.
32
Hoogerheide, Lennart
21
Basturk, Nalan
14
Casarin, Roberto
14
Paap, Richard
10
Billio, Monica
9
Grassi, Stefano
8
Bos, Charles S.
7
van Dijk, H. K.
7
Koopman, Siem Jan
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Hoogerheide, Lennart F.
5
Ando, Tomohiro
4
Cakmakli, Cem
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Cross, Jamie
4
Fok, Dennis
4
Aastveit, Knut Are
3
Ardia, David
3
Mahieu, Ronald J.
3
Pozzi, Lorenzo
3
Zellner, Arnold
3
van Dijk, Dick
3
van den Hauwe, Sjoerd
3
Barra, Istvan
2
Bartelsman, Eric J.
2
Binning, Andrew
2
Block, Joern H.
2
Borowska, Agnieszka
2
Camehl, Annika
2
Castelein, Anoek
2
Ceyhan, S. Pinar
2
Cimadomo, Jacopo
2
Coulombe, Serge
2
Franses, Philip Hans
2
Gatarek, Lukasz
2
Hauptmeier, Sebastian
2
Kirchner, Markus
2
Labonne, Paul
2
Legerstee, Rianne
2
Maih, Junior
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Tinbergen Institute Discussion Paper
Norges Bank Working Paper
Discussion paper / Tinbergen Institute
18
Working Paper
14
Tinbergen Institute Discussion Papers
11
Working Paper / Norges Bank
11
Working paper / Norges Bank
11
CAMP working paper series
9
Working papers
6
Econometric Institute research papers
5
Econometric Institute Research Papers
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series
4
Working Papers / Dipartimento di Economia, Università Ca' Foscari Venezia
4
Working papers / Innocenzo Gasparini Institute for Economic Research
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International journal of forecasting
3
Journal of econometrics
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3
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2
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The Quarterly Review of Economics and Finance
2
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Economics letters
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FRB International Finance Discussion Paper
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International finance discussion papers
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Journal of Econometrics
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Journal of Risk and Financial Management
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Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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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
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are
;
Ravazzolo, Francesco
;
van Dijk, …
-
2014
mechanisms. The combined density scheme is incorporated in a
Bayesian
Sequential Monte Carlo method which re-balances the set of …
Persistent link: https://www.econbiz.de/10010491381
Saved in:
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