Work

Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models

Year: 2017

Type: article

Source: Econometrics and Statistics

DOI: 10.1016/j.ecosta.2017.03.003

Authors: Lutz F. Gruber, Mike West

Institution: Duke University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2465202192

FWCI: 9.53

Cites: 34

Cited by: 46

Related to: 10