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

Casarin, RobertoGrassi, StefanoRavazzolo, FrancescoDijk, Herman K. van2024-07-122024-07-1220230304-4076https://thuvienso.hoasen.edu.vn/handle/123456789/15469Journal of Econometrics, Vol. 237, 2023; PP. 1-12 https://doi.org/10.1016/j.jeconom.2022.11.004enDensity combinationDynamic factor modelsNonlinear state-spaceA flexible predictive density combination for large financial data sets in regular and crisis periodsArticle