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Casarin et al., 2023 - Google Patents

A flexible predictive density combination for large financial data sets in regular and crisis periods

Casarin et al., 2023

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Document ID
10879272226345238650
Author
Casarin R
Grassi S
Ravazzolo F
van Dijk H
Publication year
Publication venue
Journal of Econometrics

External Links

Snippet

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small …
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    • G06Q30/00—Commerce, e.g. shopping or e-commerce
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