A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection

DOI10.1016/j.csda.2014.12.005zbMath1466.62206arXiv1301.5129MaRDI QIDQ1659170

Y. Aharonov

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.5129

zbMATH Keywords

Bayesian analysis; Markov chain Monte Carlo; multivariate GARCH; Dirichlet process mixtures; portfolio allocation; DCC

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

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

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

62F15: Bayesian inference