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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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 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/ |
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)