Dynamic dependence networks: Financial time series forecasting and portfolio decisions

DOI10.1002/asmb.2161zbMath1411.62311arXiv1606.08339OpenAlexW3106210107MaRDI QIDQ4624956

Mike West, Zoey Yi Zhao, Meng Xie

Publication date: 20 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08339

zbMATH Keywords

portfolio optimizationBayesian forecastinggraphical model uncertaintymultiregression dynamic modeldynamic graphical modeldiscount model averagingsparse dynamics

Mathematics Subject Classification ID

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) Economic time series analysis (91B84)

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