We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style portfolio weights of the MSCI sector returns. Following van Dijk and Kloek (1980) an appropriately defined prior density of style weights can incorporate non-negativity and other constraints. We use...

We present a new, full multivariate framework for modelling the evolution of conditional correlation between financial asset returns. Our approach assumes that a vector of asset returns is shocked by a vector innovation process the covariance matrix of which is timedependent. We then employ an...