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Dynamic Shrinkage Processes - MaRDI portal

Dynamic Shrinkage Processes (Q5204364)

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scientific article; zbMATH DE number 7139698
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English
Dynamic Shrinkage Processes
scientific article; zbMATH DE number 7139698

    Statements

    title
    Dynamic Shrinkage Processes (English)
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    author
    Daniel R. Kowal
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    David S. Matteson
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    David Ruppert
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    publication date
    4 December 2019
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    zbMATH Keywords
    asset pricing
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    dynamic linear model
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    stochastic volatility
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    time series
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    trend filtering
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    regression
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    Identifiers

    DOI
    10.1111/rssb.12325
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    Mathematics Subject Classification ID
    62M10
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    62J07
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    62M20
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    62P05
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    zbMATH DE Number
    7139698
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    OpenAlex ID
    W3101281330
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    arXiv ID
    1707.00763
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