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Bayesian dynamic factor models and portfolio allocation
Aguilar, Omar; West, Mike - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 338-357
Persistent link: https://www.econbiz.de/10001493865
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Shotgun stochastic search for "large p" regression
Hans, Chris; Dobra, Adrian; West, Mike - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 507-516
Persistent link: https://www.econbiz.de/10003490352
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980
Persistent link: https://www.econbiz.de/10010517774
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Dynamic factor volatility modeling : a Bayesian latent threshold approach
Nakajima, Jouchi; West, Mike - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 116-153
Persistent link: https://www.econbiz.de/10009708923