A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170)
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scientific article; zbMATH DE number 6918367
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| English | A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection |
scientific article; zbMATH DE number 6918367 |
Statements
A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (English)
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15 August 2018
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Bayesian analysis
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Dirichlet process mixtures
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DCC
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Markov chain Monte Carlo
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multivariate GARCH
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portfolio allocation
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0.7835267186164856
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0.764886200428009
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0.7588011026382446
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0.7576586008071899
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0.7574239373207092
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