Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2014. Sparse Bayesian Latent Factor Stochastic Volatility Models for High-Dimensional Financial Time Series. 11th German Probability and Statistics Days, Ulm University, Deutschland, 04.03.-07.03.
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Status of publication | Published |
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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 | 11th German Probability and Statistics Days |
Year | 2014 |
Date | 04.03.-07.03. |
Country | Germany |
Location | Ulm University |
URL | http://www.gpsd-ulm2014.de/ |
Associations
- People
- Kastner, Gregor (Details)
- Frühwirth-Schnatter, Sylvia (Details)
- External
- Lopes, Hedibert Freitas (The University of Chicago Booth School of Business, United States/USA)
- 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)