Bayesian semiparametric modeling of realized covariance matrices (Q5964748)
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scientific article; zbMATH DE number 6547752
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian semiparametric modeling of realized covariance matrices |
scientific article; zbMATH DE number 6547752 |
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Bayesian semiparametric modeling of realized covariance matrices (English)
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1 March 2016
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multi-period density forecasts
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inverse-Wishart distribution
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beam sampling
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hierarchical Dirichlet process
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infinite hidden Markov model
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