Blar i Scientific articles 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. (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 ... -
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; van Dijk, Herman K. (Peer reviewed; Journal article, 2022)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...