Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis

DOI10.1080/14697688.2016.1268708MaRDI QIDQ4555142zbMATH OpenOpenAlexFDO

Authors Hui `Fox' Ling, Christian Franzen

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1268708

zbMATH Keywords

forecasting volatilities of portfolios of assetsonline learning of factor model parameterspredictability of time-varying factor modelstime-varying factor models of time-seriesvariational Bayesian filter to estimate factor model parametersvariational sequential Bayesian estimates

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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• Visualization and processing of tensor fields.
• Volatility forecast comparison using imperfect volatility proxies

Describes a project that uses

Uses Software

• PRMLT
• rSGDLM

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