Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions

Gregor Kastner

Statistics and Mathematics

Publikation: Working/Discussion Paper › WU Working Paper

299 Downloads (Pure)

1 Originalbeitrag in Fachzeitschrift

1 Ergebnisse

2019

Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions
Kastner, G., 2019, in: Journal of Econometrics. 210, 1, S. 98 - 115
Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung