Dynamic financial index models: modeling conditional dependencies via graphs
DOI10.1214/11-BA624zbMath1330.91187MaRDI QIDQ2634113
Hao Wang, Craig Reeson, Carlos Marinho Carvalho
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 selectionfactor modelsBayesian forecastingGaussian graphical modelsindex modelscovariance matrix forecastingdynamic matrix-variate graphical models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Portfolio theory (91G10) Graphical methods in statistics (62A09)
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