Blar i Publikasjoner fra CRIStin - BI på forfatter "van Dijk, Herman K."
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Journal article; Peer reviewed, 2023)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 ...