Casarin, R.

model density forecast weight combination strategy forecasting scheme prediction yt +1 time t survey return value journal density forecasts distribution method combination scheme figure result parameter bayesian period time-varying approach section fferent dynamic stock paper probability volatility error time-varying weights point combination schemes series application predictor example capital charges point forecasts portfolio vector speci process sequential monte carlo 0.2 rmspe future square prediction error basel ii accord survey forecasts multivariate basel uncertainty index carlo accuracy monte vix futures 0.5 order performance utility capital university flation 0.4 nonlinear mcaleer bayesian model weight dynamics variable score space panel table sample