Bayesian Shrinkage Estimation of Time-Varying Covariance Matrices in Financial Time Series

doi 10.14711/thesis-991012657168603412
Full Text
Abstract

Available in full text

Date

Unknown

Authors
Publisher

The Hong Kong University of Science and Technology Library

Related search

Shrinkage Estimation of Large Covariance Matrices: Keep It Simple, Statistician?

SSRN Electronic Journal
2019English

Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models

Journal of Business and Economic Statistics
EconomicsProbabilityUncertaintySocial SciencesStatisticsEconometrics
2017English

Efficient Estimation of Bayesian VARMAs With Time-Varying Coefficients

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2017English

Shrinkage Estimators for Covariance Matrices

Biometrics
StatisticsGeneticsProbabilityMolecular BiologyBiochemistryApplied MathematicsMicrobiology ImmunologyBiological SciencesMedicineAgricultural
2001English

Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices

Dynamic Econometric Models
2011English

Bayesian Time Series Analysis

2010English

dCovTS: Distance Covariance/Correlation for Time Series

R Journal
UncertaintyNumerical AnalysisStatisticsProbability
2016English

Smooth Time-Frequency Estimation Using Covariance Fitting

2014English

Testing Asymmetry in Financial Time Series

Quantitative Finance
EconomicsEconometricsFinance
2007English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy