Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
暂无分享,去创建一个
[1] Jonas Schmitt. Portfolio Selection Efficient Diversification Of Investments , 2016 .
[2] M. West,et al. Bayesian Analysis of Latent Threshold Dynamic Models , 2013 .
[3] M. West,et al. Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach , 2013 .
[4] Manuel Mendoza,et al. Dynamic Stock Selection Strategies: A Structured Factor Model Framework , 2012 .
[5] Hao Wang,et al. Sparse seemingly unrelated regression modelling: Applications in finance and econometrics , 2010, Comput. Stat. Data Anal..
[6] Michael A. West,et al. Time Series: Modeling, Computation, and Inference , 2010 .
[7] Mike West,et al. Bayesian Learning in Sparse Graphical Factor Models via Variational Mean-Field Annealing , 2010, J. Mach. Learn. Res..
[8] Nicholas G. Polson,et al. Particle Learning and Smoothing , 2010, 1011.1098.
[9] Ryo Yoshida,et al. Bayesian Learning in Sparse Graphical Factor Models via Annealed Entropy , 2010 .
[10] Dimitris Korobilis,et al. VAR Forecasting Using Bayesian Variable Selection , 2009 .
[11] M. West,et al. Bayesian analysis of matrix normal graphical models. , 2009, Biometrika.
[12] Mike West,et al. Futures Markets, Bayesian Forecasting and Risk Modeling , 2009 .
[13] Mario Forni,et al. The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach , 2008 .
[14] M. West,et al. High-Dimensional Sparse Factor Modeling: Applications in Gene Expression Genomics , 2008, Journal of the American Statistical Association.
[15] Marco Del Negro,et al. Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles , 2008 .
[16] Dongchu Sun,et al. Bayesian stochastic search for VAR model restrictions , 2008 .
[17] Michael A. West,et al. Dynamic matrix-variate graphical models , 2007 .
[18] Carlos M. Carvalho,et al. Factor stochastic volatility with time varying loadings and Markov switching regimes , 2007 .
[19] N. Shephard,et al. Stochastic volatility with leverage: Fast and efficient likelihood inference , 2007 .
[20] A. Schwendener,et al. Regime switching based portfolio selection for pension funds , 2007 .
[21] Jianqing Fan,et al. High dimensional covariance matrix estimation using a factor model , 2007, math/0701124.
[22] Francis X. Diebold,et al. Real-Time Measurement of Business Conditions , 2007 .
[23] N. Shephard,et al. Analysis of high dimensional multivariate stochastic volatility models , 2006 .
[24] É. Renault,et al. Factor Stochastic Volatility in Mean Models: A GMM Approach , 2006 .
[25] M. Glickman,et al. Factor Multivariate Stochastic Volatility via Wishart Processes , 2006 .
[26] Jun Yu,et al. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison , 2006 .
[27] M. McAleer,et al. Multivariate Stochastic Volatility: A Review , 2006 .
[28] J. Bai,et al. Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions , 2006 .
[29] Gary Koop,et al. Forecasting in Dynamic Factor Models Using Bayesian Model Averaging , 2004 .
[30] Siddhartha Chib,et al. Stochastic Volatility with Leverage: Fast Likelihood Inference , 2004 .
[31] Toshiaki Watanabe,et al. A multi‐move sampler for estimating non‐Gaussian time series models: Comments on Shephard & Pitt (1997) , 2004 .
[32] Michael A. West,et al. BAYESIAN MODEL ASSESSMENT IN FACTOR ANALYSIS , 2004 .
[33] T. Sargent,et al. Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. , 2003 .
[34] Asset Allocation, Decoupling, and the Opportunity Cost of Cash , 2003 .
[35] Matthew West,et al. Bayesian factor regression models in the''large p , 2003 .
[36] Yufeng Han,et al. Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model , 2005 .
[37] R. Kohn,et al. Parsimonious Covariance Matrix Estimation for Longitudinal Data , 2002 .
[38] Giorgio E. Primiceri,et al. Time Varying Structural Vector Autoregressions and Monetary Policy , 2002 .
[39] J. Stock,et al. Macroeconomic Forecasting Using Diffusion Indexes , 2002 .
[40] Siddhartha Chib,et al. MARKOV CHAIN MONTE CARLO METHODS: COMPUTATION AND INFERENCE , 2001 .
[41] M. Hallin,et al. The Generalized Dynamic-Factor Model: Identification and Estimation , 2000, Review of Economics and Statistics.
[42] M. West,et al. Bayesian Dynamic Factor Models and Portfolio Allocation , 2000 .
[43] M. Pitt,et al. Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion , 1998 .
[44] O. Aguilar,et al. Bayesian Inference on Latent Structure in Time Series , 1998 .
[45] M. Pitt,et al. Likelihood analysis of non-Gaussian measurement time series , 1997 .
[46] Douglas M. Bates,et al. Unconstrained parametrizations for variance-covariance matrices , 1996, Stat. Comput..
[47] J. Geweke,et al. Measuring the pricing error of the arbitrage pricing theory , 1996 .
[48] N. Shephard,et al. Stochastic Volatility: Likelihood Inference And Comparison With Arch Models , 1996 .
[49] W. Sharpe. The Sharpe Ratio , 1994 .
[50] Peter E. Rossi,et al. Bayesian Analysis of Stochastic Volatility Models , 1994 .
[51] N. Shephard,et al. Multivariate stochastic variance models , 1994 .
[52] J. Q. Smith,et al. 1. Bayesian Statistics 4 , 1993 .
[53] John Geweke,et al. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments , 1991 .
[54] M. West,et al. Bayesian forecasting and dynamic models , 1989 .
[55] George E. P. Box,et al. Identifying a Simplifying Structure in Time Series , 1987 .