Forecasting time-varying covariance with a robust Bayesian threshold model
Year of publication: |
2011
|
---|---|
Authors: | Wu, Chih-chiang ; Lee, Jack C. |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 30.2011, 5, p. 451-468
|
Subject: | Theorie | Theory | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Robustes Verfahren | Robust statistics | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |
-
Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian, (2017)
-
Outlier Robust Methods for Forecasting Realized Covariance Matrices
Li, Dan, (2023)
-
State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis, (2022)
- More ...
-
The economic value of range-based covariance between stock and bond returns with dynamic copulas
Wu, Chih-chiang, (2011)
-
Economic benefits and determinants of extreme dependences between REIT and stock returns
Huang, MeiChi, (2015)
-
The extreme value in crude oil and US dollar markets
Chen, Wei-Peng, (2013)
- More ...