Structural learning with time-varying components: tracking the cross-section of financial time series
نویسندگان
چکیده
منابع مشابه
Structural learning with time-varying components: tracking the cross-section of financial time series
When modelling multivariate financial data, the problem of structural learning is compounded by the fact that the covariance structure changes with time. Previous work has focused on modelling those changes by using multivariate stochastic volatility models. We present an alternative to these models that focuses instead on the latent graphical structure that is related to the precision matrix. ...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2005
ISSN: 1369-7412,1467-9868
DOI: 10.1111/j.1467-9868.2005.00504.x