Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Xiaocong Zhou; Jouchi Nakajima; Mike West
| Year of publication: |
2014
|
|---|---|
| Authors: | Zhou, Xiaocong ; Nakajima, Jouchi ; West, Mike |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2014, 4, p. 963-980
|
| Subject: | Bayesian forecasting | Benchmark neutral portfolio | Dynamic factor models | Latent threshold dynamic models | Multivariate stochastic volatility | Portfolio optimization | Sparse time-varying loadings | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Dynamische Wirtschaftstheorie | Economic dynamics | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010517774