A dynamic latent-space model for asset clustering
From MaRDI portal
Publication:6645246
DOI10.1515/SNDE-2022-0111MaRDI QIDQ6645246
Roberto Casarin, Antonio Peruzzi
Publication date: 28 November 2024
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- A spatiotemporal nonparametric Bayesian model of multi-subject fMRI data
- Beta-product dependent Pitman-Yor processes for Bayesian inference
- Slice sampling mixture models
- Bayesian semiparametric stochastic volatility modeling
- Stick-breaking autoregressive processes
- Common volatility and correlation clustering in asset returns
- Bayesian nonparametric inference -- why and how
- Dynamics of cluster structure in financial correlation matrix
- Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank
- Bayesian nonparametric vector autoregressive models
- Additive and multiplicative effects network models
- Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
- The geometry of continuous latent space models for network data
- Bayesian nonparametric sparse VAR models
- Bayesian nonparametric dependent model for partially replicated data: the influence of fuel spills on species diversity
- Complex networks: structure and dynamics
- A Bayesian non-parametric dynamic AR model for multiple time series analysis
- Sampling the Dirichlet Mixture Model with Slices
- Latent Space Approaches to Social Network Analysis
- Networks
- Asset Trees and Asset Graphs in Financial Markets
- Bayesian Nonparametric Calibration and Combination of Predictive Distributions
- Handling the Label Switching Problem in Latent Class Models Via the ECR Algorithm
- Semiparametric Bayesian Inference in Autoregressive Panel Data Models
- A Bayesian Mixture Model for Differential Gene Expression
- Markov switching Dirichlet process mixture regression
- Bayesian Dynamic Tensor Regression
- Bayesian Nonparametric Panel Markov-Switching GARCH Models
- Bayesian Markov-Switching Tensor Regression for Time-Varying Networks
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
This page was built for publication: A dynamic latent-space model for asset clustering
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6645246)