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Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models
16 references·2 citing·46 second hop
Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models (2017)Bayesian online variable selection and sc…Dynamic dependence networks: Financial time series forecasting and portfolio decisions (2016)Dynamic dependence networks: …An entropy-based early warning indicator for systemic risk (2016)An entropy-based early warnin…Sequential Bayesian Model Selection of Regular Vine Copulas (2015)Sequential Bayesian Model Sel…Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models (2014)Bayesian forecasting and port…Applications of Entropy in Finance: A Review (2013)Applications of Entropy in Fi…Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010)Bayesian Multivariate Time Se…Multivariate Stochastic Volatility: A Review (2006)Multivariate Stochastic Volat…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Analysis of high dimensional multivariate stochastic volatility models (2005)Analysis of high dimensional …Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Entropy and predictability of stock market returns (2002)Entropy and predictability of…Bayesian Dynamic Factor Models and Portfolio Allocation (2000)Bayesian Dynamic Factor Model…Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion (1998)Time Varying Covariances: A F…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…An Analysis of International Exchange Rates Using Multivariate DLM's (1987)An Analysis of International …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2019)Bayesian forecasting of multi…Bayesian Forecasting of Many Count-Valued Time Series (2019)Bayesian Forecasting of Many …A definition of a nonprobabilistic entropy in the setting of fuzzy sets theory (1972)Fuzzy entropy and conditioning (1986)Herding behavior, market sentiment and volatility: Will the bubble resume? (2017)EntropyHub: An open-source toolkit for entropic time series analysis (2021)Forecasting volatility by integrating financial risk with environmental, social, and governance risk (2021)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Bayesian Analysis of Stochastic Volatility Models (2002)The Nature of Political Ideology in the Contemporary Electorate (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Evaluating Volatility and Correlation Forecasts (2009)Modelling Nonlinear Economic Time Series (2010)Modelling and Forecasting Multivariate Realized Volatility (2011)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)A Dependence Metric for Possibly Nonlinear Processes (2004)Mutual information: a measure of dependency for nonlinear time series (2004)Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence (2005)The Econometrics of Financial Markets (2012)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)The Wishart Autoregressive process of multivariate stochastic volatility (2009)A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations (2011)ARCH modeling in finance (1992)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Parametric and Nonparametric Volatility Measurement (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Forecasting Volatility in Financial Markets: A Review (2003)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? (2012)Large time-varying parameter VARs (2013)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors633 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
  • 2006Multivariate Stochastic Volatility: A Review375 cited
  • 2005Analysis of high dimensional multivariate stochastic volatility models345 cited
  • 2002Entropy and predictability of stock market returns293 cited
  • 2013Applications of Entropy in Finance: A Review261 cited
  • 1987An Analysis of International Exchange Rates Using Multivariate DLM's87 cited
  • 2016An entropy-based early warning indicator for systemic risk80 cited
  • 2014Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models69 cited
  • 1998Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion69 cited
  • 2015Sequential Bayesian Model Selection of Regular Vine Copulas59 cited

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  • 2016Dynamic dependence networks: Financial time series forecasting and portfolio decisions49 cited
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    • 2019Bayesian Forecasting of Many Count-Valued Time Series62 cited
    • 2019Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions43 cited