Multivariate DLMs for forecasting financial time series, with application to the management of portfolios

DOI10.1007/978-3-642-57678-2_63zbMath1455.62207OpenAlexW2338459934MaRDI QIDQ3297995

Andrew Simpson, Darren J. Wilkinson

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57678-2_63

zbMATH Keywords

BayesforecastingfinancemultivariateDLMs

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Bayesian forecasting and dynamic models.
• Smoothing and Interpolation with the State-Space Model
• Disturbance smoother for state space models

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