Sparse seemingly unrelated regression modelling: Applications in finance and econometrics
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- Zhou, Xiaocong & Nakajima, Jouchi & West, Mike, 2014. "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 963-980.
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- Urbi Garay & Enrique ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 1-23, March.
- Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
- repec:gam:jecnmx:v:4:y:2016:i:1:p:13:d:65308 is not listed on IDEAS
- repec:eee:ecosta:v:3:y:2017:i:c:p:3-22 is not listed on IDEAS
More about this item
KeywordsDynamic linear model Gaussian graphical model Hyper-inverse Wishart distribution Marginal likelihood Markov chain Monte Carlo Variable selection;
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