Quotation Kastner, Gregor. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Financial Time Series. NBER-NSF Time Series Conference, WU Vienna University of Economics and Business, Österreich, 25.09.-26.09.


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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 Dynamic Covariance Estimation in High-Dimensional Financial Time Series
Event NBER-NSF Time Series Conference
Year 2015
Date 25.09.-26.09.
Country Austria
Location WU Vienna University of Economics and Business
URL http://wutimeseries2015.wu.ac.at/

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Kastner, Gregor (Details)
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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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