Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series

DOI10.1111/J.1467-9868.2005.00504.XMaRDI QIDQ5313454zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

covariance selectiondynamical graphical modelMarkov chain Monte CarloMarkov random fieldmultivariate stochastic volatilityprecision matrix

Mathematics Subject Classification ID

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

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Cites work

• Algorithms for Minimum Coloring, Maximum Clique, Minimum Covering by Cliques, and Maximum Independent Set of a Chordal Graph
• Decomposable graphical Gaussian model determination
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• Markov Chain Markov Field dynamics: Models and statistics
• Markov properties of nonrecursive causal models

Cited in

(18)

• Conditional independence graph for nonlinear time series and its application to international financial markets
• Sequential network change detection with its applications to ad impact relation analysis
• Forecast density combinations of dynamic models and data driven portfolio strategies
• Non-homogeneous dynamic Bayesian networks with Bayesian regularization for inferring gene regulatory networks with gradually time-varying structure
• Dynamic financial index models: modeling conditional dependencies via graphs
• A non-homogeneous dynamic Bayesian network with a hidden Markov model dependency structure among the temporal data points
• Long signal change-point detection
• Regularization of non-homogeneous dynamic Bayesian networks with global information-coupling based on hierarchical Bayesian models
• Bayesian dynamic financial networks with time-varying predictors
• Non-homogeneous dynamic Bayesian networks for continuous data
• Graphical modelling of multivariate time series
• Post-regularization inference for time-varying nonparanormal graphical models
• Causal discovery from heterogeneous/nonstationary data
• A nonparametric approach for multiple change point analysis of multivariate data
• Invariant causal prediction for sequential data
• Detection of multiple change points in a Weibull accelerated failure time model using sequential testing
• Subbotin graphical models for extreme value dependencies with applications to functional neuronal connectivity
• Detection of information flow in major international financial markets by interactivity network analysis

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