Ryšánek, Jakub - In: Acta Oeconomica Pragensia 2010 (2010) 5, pp. 72-88
In this paper, I propose the use of fast Fourier transform (FFT) as a convenient tool for combining forecast densities of vector autoregressive models in a hybrid Bayesian manner. While a vast amount of papers comprises combinations based on normal approximations, Monte Carlo methods were fully...