Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på emneord "Time-varying parameters"
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Optimal Portfolio Choice under Decision-Based Model Combinations
(CAMP Working Paper Series;9/2015, Working paper, 2015)We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...