Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse Bayesian time-varying covariance estimation in many dimensions |
scientific article |
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210
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1
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98-115
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May 2019
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30 April 2019
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Sparse Bayesian time-varying covariance estimation in many dimensions (English)
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dynamic correlation
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factor stochastic volatility
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curse of dimensionality
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shrinkage
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minimum variance portfolio
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