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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| 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)