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Rejoinder to ‘Dynamic dependence networks: Financial time series forecasting and portfolio decisions’

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  • Zoey Zhao
  • Meng Xie
  • Mike West

Abstract

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  • Zoey Zhao & Meng Xie & Mike West, 2016. "Rejoinder to ‘Dynamic dependence networks: Financial time series forecasting and portfolio decisions’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 32(3), pages 336-339, May.
    • Handle: RePEc:wly:apsmbi:v:32:y:2016:i:3:p:336-339
    DOI: 10.1002/asmb.2169
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    Cited by:

    1. Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
    2. Bitto, Angela & Frühwirth-Schnatter, Sylvia, 2019. "Achieving shrinkage in a time-varying parameter model framework," Journal of Econometrics, Elsevier, vol. 210(1), pages 75-97.
    3. Sui, Yuelei & Holan, Scott H. & Yang, Wen-Hsi, 2023. "Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 181(C).
    4. Yusupova, Alisa & Pavlidis, Nicos G. & Pavlidis, Efthymios G., 2023. "Dynamic linear models with adaptive discounting," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1925-1944.
    5. Kenichiro McAlinn, 2021. "Mixed‐frequency Bayesian predictive synthesis for economic nowcasting," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1143-1163, November.
    6. Hailan Pan & Xiaohuan Yang, 2021. "Fast clustering algorithm of commodity association big data sparse network," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 12(4), pages 667-674, August.
    7. Joshua C.C. Chan & Rodney W. Strachan, 2023. "Bayesian State Space Models In Macroeconometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 58-75, February.
    8. McAlinn, Kenichiro & West, Mike, 2019. "Dynamic Bayesian predictive synthesis in time series forecasting," Journal of Econometrics, Elsevier, vol. 210(1), pages 155-169.
    9. Bruno P. C. Levy & Hedibert F. Lopes, 2021. "Dynamic Ordering Learning in Multivariate Forecasting," Papers 2101.04164, arXiv.org, revised Nov 2021.
    10. Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S., 2022. "Parsimony inducing priors for large scale state–space models," Journal of Econometrics, Elsevier, vol. 230(1), pages 39-61.

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