Blar i Norges Banks vitenarkiv på forfatter "Casarin, Roberto"
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Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Bassetti, Federico; Casarin, Roberto; Ravazzolo, Francesco (Working Papers;3/2015, Working paper, 2015)We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination ... -
Combination Schemes for Turning Point Predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;4/2012, Working paper, 2012)We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning ... -
Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;29/2010, Working paper, 2010)Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach ... -
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;12/2015, Working paper, 2015)A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ... -
Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Paper;7/2019, Working paper, 2019)A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination ... -
Interactions Between Eurozone and US Booms and Busts: A Bayesian Panel Markov-Switching VAR Model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;20/2013, Working paper, 2013)Interactions between the eurozone and US booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model well suitable for a multi-country cyclical analysis. The model ... -
Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;11/2014, Working paper, 2014)This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ...