Stefano Grassi

University of Rome Tor Vergata

Via Cracovia 1

Rome, 00133

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

58

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies

Tinbergen Institute Discussion Paper 2018-076/III
Number of pages: 53 Posted: 04 Nov 2018
Maastricht University - Department of Quantitative Economics, VU University Amsterdam, University of Rome Tor Vergata, VU University Amsterdam and Tinbergen Institute
Downloads 40 (511,527)
Citation 1

Abstract:

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forecast combination, momentum strategy, filtering methods, Bayes estimates

2.

Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

Tinbergen Institute Discussion Paper 2019-025/III
Number of pages: 79 Posted: 02 May 2019
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, affiliation not provided to SSRN and Tinbergen Institute
Downloads 18 (641,360)
Citation 1

Abstract:

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Forecast Combinations, Particle Filters, Bayesian Inference, State Space Models, Sequential Monte Carlo