Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7049090
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Sparse Bayesian time-varying covariance estimation in many dimensions |
scientific article; zbMATH DE number 7049090 |
Statements
210
0 references
1
0 references
98-115
0 references
May 2019
0 references
30 April 2019
0 references
Sparse Bayesian time-varying covariance estimation in many dimensions (English)
0 references
dynamic correlation
0 references
factor stochastic volatility
0 references
curse of dimensionality
0 references
shrinkage
0 references
minimum variance portfolio
0 references
0 references
0 references
0 references
0 references
0 references
0.79322350025177
0 references
0.7783504128456116
0 references
0.775677502155304
0 references
