Kastner, Gregor. 2015. Sparse Bayesian Latent Factor Stochastic Volatility Models for Dynamic Covariance Estimation in High-Dimensional Financial Time Series. 6th ESOBE Annual Conference, Study Center Gerzensee, Switzerland, Switzerland, 29.10.-30.10.
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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 Dynamic Covariance Estimation in High-Dimensional Financial Time Series |
| Event | 6th ESOBE Annual Conference |
| Year | 2015 |
| Date | 29.10.-30.10. |
| Country | Switzerland |
| Location | Study Center Gerzensee, Switzerland |
| URL | http://www.szgerzensee.ch/research/conferences/other/esobe2015/ |
Associations
- People
- Kastner, Gregor (Details)
- 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)