Blar i Arbeidsnotater / Working Papers på forfatter "Billio, Monica"
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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 ... -
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 ...