Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
DOI10.1080/14697688.2016.1268708zbMath1402.91714OpenAlexW2589066370MaRDI QIDQ4555142
Hui `Fox' Ling, Christian Franzen
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1268708
forecasting volatilities of portfolios of assetsonline learning of factor model parameterspredictability of time-varying factor modelstime-varying factor models of time-seriesvariational Bayesian filter to estimate factor model parametersvariational sequential Bayesian estimates
Uses Software
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