Multivariate discount weighted regression and local level models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
- K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
- Yiu-Kuen Tse & Wai-Sum Chan, 2010. "The Lead-Lag Relation Between The S&P500 Spot And Futures Markets: An Intraday-Data Analysis Using A Threshold Regression Model," The Japanese Economic Review, Japanese Economic Association, vol. 61(1), pages 133-144.
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