Francesco Ravazzollo

affiliation not provided to SSRN

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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
Roberto Casarin, Stefano Grassi, Francesco Ravazzollo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics, University of Rome Tor Vergata, affiliation not provided to SSRN and Tinbergen Institute
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Abstract:

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