Bayesian semiparametric modeling of realized covariance matrices

DOI10.1016/j.jeconom.2015.11.001zbMath1419.62119OpenAlexW1669348267MaRDI QIDQ5964748

John M. Maheu, Xin Jin

Publication date: 1 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.rcea.org/RePEc/pdf/wp34_14.pdf

zbMATH Keywords

beam samplinghierarchical Dirichlet processinfinite hidden Markov modelinverse-Wishart distributionmulti-period density forecasts

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Nonparametric inference (62G99)

Related Items (5)

Time series models for realized covariance matrices based on the matrix-F distribution ⋮ Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics ⋮ Infinite Markov pooling of predictive distributions ⋮ Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors ⋮ Large-scale portfolio allocation under transaction costs and model uncertainty

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