Bayesian dynamic financial networks with time-varying predictors

DOI10.1016/j.spl.2014.06.015zbMath1400.62174arXiv1403.2272OpenAlexW2045577908MaRDI QIDQ395955

Daniele Durante, David B. Dunson

Publication date: 8 August 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.2272

zbMATH Keywords

Gaussian processfinancial networklatent spaceco-movementedge covariates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15)

Related Items

Variational Inference for Latent Space Models for Dynamic Networks, A review of dynamic network models with latent variables, Bayesian Markov-Switching Tensor Regression for Time-Varying Networks, A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market

Uses Software

• BayesLogit
• FinTS

Cites Work

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