Infinite Markov pooling of predictive distributions

DOI10.1016/j.jeconom.2021.10.010OpenAlexW3215093623MaRDI QIDQ2673184

Publication date: 9 June 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.10.010

zbMATH Keywords

Dirichlet process beam sampling density forecast short-term interest rates infinite Markov switching prediction pools realized covariance matrices

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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