Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series
DOI10.1111/j.1467-9868.2005.00504.xzbMath1071.62094OpenAlexW2113401388MaRDI QIDQ5313454
Makram Talih, Nicolas W. Hengartner
Publication date: 1 September 2005
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9868.2005.00504.x
Markov chain Monte CarloMarkov random fieldprecision matrixmultivariate stochastic volatilitycovariance selectiondynamical graphical model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
Related Items (16)
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