Comment on article by Windle and Carvalho

The article by Windle and Carvalho introduces a fast update procedure for covariance matrices through the introduction of higher frequency sources of information for the underlying process, demonstrated with a financial application. This discussion focuses on outlining the assumptions and constraint...

Full description

Autores:

ter Horst, Enrique
Molina, Germán

Tipo de recurso:

Article of investigation

Fecha de publicación:

2014

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5128

Acceso en línea:

http://hdl.handle.net/10726/5128
https://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.full

Palabra clave:

Stochastic Volatility
Financial application
EWMA
Covariance update

Rights

openAccess

License

Abierto (Texto Completo)