Multivariate DLMs for forecasting financial time series, with application to the management of portfolios

DOI10.1007/978-3-642-57678-2_63zbMath1455.62207MaRDI QIDQ3297995

Andrew Simpson, Darren J. Wilkinson

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57678-2_63

zbMATH Keywords

Bayes; forecasting; finance; multivariate; DLMs

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

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

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

91G10: Portfolio theory

Cites Work

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