Quotation 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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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 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/

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Kastner, Gregor (Details)
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Institute for Statistics and Mathematics IN (Details)
Research areas (Ă–STAT 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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