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

zbMATH Keywords

portfolio selectionfactor modelsBayesian forecastingGaussian graphical modelsindex modelscovariance matrix forecastingdynamic matrix-variate graphical models

Mathematics Subject Classification ID

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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Scaling it up: stochastic search structure learning in graphical models ⋮ Efficient Gaussian graphical model determination under \(G\)-Wishart prior distributions ⋮ Hierarchical Gaussian graphical models: beyond reversible jump ⋮ Sparse covariance estimation in heterogeneous samples ⋮ Sparse seemingly unrelated regression modelling: applications in finance and econometrics ⋮ Modeling systemic risk with Markov switching graphical SUR models ⋮ Sparse Bayesian time-varying covariance estimation in many dimensions ⋮ Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

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