Quotation Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. International Work-Conference on Time Series Analysis (ITISE 2015), Granada, Spanien, 01.07.-03.07.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Paper presented at an academic conference or symposium
Language English
Title Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series
Event International Work-Conference on Time Series Analysis (ITISE 2015)
Year 2015
Date 01.07.-03.07.
Country Spain
Location Granada
URL http://itise.ugr.es/

Associations

People
Kastner, Gregor (Details)
Frühwirth-Schnatter, Sylvia (Details)
External
Lopes, Hedibert Freitas (Insper, Brazil)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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