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

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Author:  Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; Dijk, Herman K. van
Date:  2023
Publisher:  Elsevier
Subject:   Density combination; Dynamic factor models; Nonlinear state-space 
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  • Filename: 2023. A flexible predictive density combination for large financial data sets in regular and crisis periods.pdf
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