Sparse Bayesian time-varying covariance estimation in many dimensions
Gregor Kastner
| Year of publication: |
2019
|
|---|---|
| Authors: | Kastner, Gregor |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 1, p. 98-115
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| Subject: | Curse of dimensionality | Dynamic correlation | Factor stochastic volatility | Minimum variance portfolio | Shrinkage | Korrelation | Correlation | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Varianzanalyse | Analysis of variance | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303382