Browsing Handelshøyskolen BI by Subject "Density combination"
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A flexible predictive density combination for large financial data sets in regular and crisis periods
(Peer reviewed; Journal article, 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 ... -
Nowcasting GDP in real time: a density combination approach
(Journal article; Peer reviewed, 2014)In this paper, we use U.S. real-time data to produce combined density nowcasts of quarterly GDP growth, using a system of three commonly used model classes. We update the density nowcast for every new data release ... -
Nowcasting GDP in Real-Time: A Density Combination Approach
(CAMP Working Paper Series;1/2011, Working paper, 2011)In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, ...