Bayesian prediction of jumps in large panels of time series data

DOI10.1214/21-BA1268arXiv1904.05312OpenAlexW3159464310MaRDI QIDQ6202925

Petros Dellaportas, Angelos Alexopoulos, Omiros Papaspiliopoulos

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.05312

zbMATH Keywords

Markov chain Monte Carlosequential Monte Carlodynamic factor modelstochastic volatility with jumpsforecasting stock returns

Mathematics Subject Classification ID

Statistics (62-XX)

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