Time-varying combinations of predictive densities using nonlinear filtering
From MaRDI portal
Publication:2453082
DOI10.1016/j.jeconom.2013.04.009zbMath1288.62136OpenAlexW3125775736MaRDI QIDQ2453082
Roberto Casarin, Francesco Ravazzolo, Monica Billio, Hermann K. Van Dijk
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://papers.tinbergen.nl/12118.pdf
Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Economic time series analysis (91B84)
Related Items (20)
A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities ⋮ Dynamic prediction pools: an investigation of financial frictions and forecasting performance ⋮ DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY ⋮ Optimal asset allocation with multivariate Bayesian dynamic linear models ⋮ Infinite Markov pooling of predictive distributions ⋮ ABC of the future ⋮ On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates ⋮ A flexible predictive density combination for large financial data sets in regular and crisis periods ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil ⋮ Using Survey Information for Improving the Density Nowcasting of U.S. GDP ⋮ Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting ⋮ Alternative tests for correct specification of conditional predictive densities ⋮ Dynamic Bayesian predictive synthesis in time series forecasting ⋮ Forecast density combinations of dynamic models and data driven portfolio strategies ⋮ Model averaging in Markov-switching models: predicting national recessions with regional data ⋮ Complete subset regressions ⋮ Bayesian Nonparametric Calibration and Combination of Predictive Distributions ⋮ Large-scale portfolio allocation under transaction costs and model uncertainty ⋮ Generalised density forecast combinations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Approximately normal tests for equal predictive accuracy in nested models
- Least-squares forecast averaging
- Forecasts of US short-term interest rates: a flexible forecast combination approach
- Handbook of economic forecasting. Volume 1
- Bayesian forecasting and dynamic models.
- Optimal prediction pools
- Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- Online data processing: comparison of Bayesian regularized particle filters
- Sequential Monte Carlo Methods in Practice
- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area
- Combining inflation density forecasts
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Optimal Weight Choice for Frequentist Model Average Estimators
- Combining Probability Distributions from Dependent Information Sources
- FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
- Asymptotic Inference about Predictive Ability
- A Survey of Sequential Monte Carlo Methods for Economics and Finance
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Probabilistic Prediction
- Least Squares Model Averaging
- Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis
This page was built for publication: Time-varying combinations of predictive densities using nonlinear filtering
