Dynamic financial index models: modeling conditional dependencies via graphs
From MaRDI portal
Publication:2634113
DOI10.1214/11-BA624zbMath1330.91187MaRDI QIDQ2634113
Hao Wang, Carlos Marinho Carvalho, Craig Reeson
Publication date: 8 February 2016
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1339616539
portfolio selection; factor models; Bayesian forecasting; Gaussian graphical models; index models; covariance matrix forecasting; dynamic matrix-variate graphical models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62F15: Bayesian inference
91G10: Portfolio theory
62A09: Graphical methods in statistics
