Bayesian Estimation of a Covariance Matrix: Application for Asset and Liabiliy Management
Year of publication: |
2010-06
|
---|---|
Authors: | Marin, Jean-Michel ; Féron, Olivier ; Bouriga, Mathilde ; Robert, Christian P. |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | hierarchical priors | covariance matrix | inference | Markov chain Monte Carlo |
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