Sparse Bayesian time-varying covariance estimation in many dimensions
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
|
Subject: | Curse of dimensionality | Dynamic correlation | Factor stochastic volatility | Minimum variance portfolio | Shrinkage | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income |
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