Sparse Bayesian time-varying covariance estimation in many dimensions

DOI10.1016/j.jeconom.2018.11.007zbMath1452.62773arXiv1608.08468MaRDI QIDQ117775

Gregor Kastner, Gregor Kastner

Publication date: May 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08468

zbMATH Keywords

curse of dimensionality; shrinkage; minimum variance portfolio; dynamic correlation; factor stochastic volatility

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

91G10: Portfolio theory

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Uses Software

• R
• stochvol
• GIGrvg
• factorstochvol
• rSGDLM