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Bayesian dynamic factor models and portfolio allocation

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Evolución en la calidad de vida de los pobladores 1991 - 1993 : tercera encuesta en poblaciones

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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/10008217758

Bayesian Dynamic Factor Models and Portfolio Allocation.

Aguilar, Omar; West, Mike - In: Journal of Business & Economic Statistics 18 (2000) 3, pp. 338-57

We discuss the development of dynamic factor models for multivariate financial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot...

Persistent link: https://www.econbiz.de/10005430085