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)
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spelling ter Horst, Enriquebb497a43-c019-48d2-8bff-b5b9172cf707600Molina, Germán1fa4e4bc-5890-49a2-aa16-7f5220145ef8600ter Horst, Enrique [0000-0001-5153-1475]Molina, Germán [0000-0003-4693-6907]ter Horst, Enrique [49561184500]Molina, Germán [15728099800]2023-06-21T22:23:11Z2023-06-21T22:23:11Z20141936-0975http://hdl.handle.net/10726/5128instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1931-6690https://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.fullengInternational Society for Bayesian AnalysisComment on article by Windle and Carvalhoarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2The 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 constraints around their use in financial applications, as well as an elicitation of some key choices made for comparison with traditional benchmarks, that may ultimately affect the results.https://orcid.org/0000-0001-5153-1475https://orcid.org/0000-0003-4693-6907https://www.scopus.com/authid/detail.uri?authorId=49561184500https://www.scopus.com/authid/detail.uri?authorId=1572809980094809818Bayesian AnalysisStochastic VolatilityFinancial applicationEWMACovariance update10726/5128oai:repository.cesa.edu.co:10726/51282023-09-18 09:47:59.029metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Comment on article by Windle and Carvalho
title Comment on article by Windle and Carvalho
spellingShingle Comment on article by Windle and Carvalho
Stochastic Volatility
Financial application
EWMA
Covariance update
title_short Comment on article by Windle and Carvalho
title_full Comment on article by Windle and Carvalho
title_fullStr Comment on article by Windle and Carvalho
title_full_unstemmed Comment on article by Windle and Carvalho
title_sort Comment on article by Windle and Carvalho
dc.creator.fl_str_mv ter Horst, Enrique
Molina, Germán
dc.contributor.author.spa.fl_str_mv ter Horst, Enrique
Molina, Germán
dc.contributor.orcid.none.fl_str_mv ter Horst, Enrique [0000-0001-5153-1475]
Molina, Germán [0000-0003-4693-6907]
dc.contributor.scopus.none.fl_str_mv ter Horst, Enrique [49561184500]
Molina, Germán [15728099800]
dc.subject.proposal.none.fl_str_mv Stochastic Volatility
Financial application
EWMA
Covariance update
topic Stochastic Volatility
Financial application
EWMA
Covariance update
description 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 constraints around their use in financial applications, as well as an elicitation of some key choices made for comparison with traditional benchmarks, that may ultimately affect the results.
publishDate 2014
dc.date.issued.none.fl_str_mv 2014
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:11Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:11Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1936-0975
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5128
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1931-6690
dc.identifier.url.none.fl_str_mv https://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.full
identifier_str_mv 1936-0975
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1931-6690
url 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
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 9
dc.relation.citationissue.none.fl_str_mv 4
dc.relation.citationstartpage.none.fl_str_mv 809
dc.relation.citationendpage.none.fl_str_mv 818
dc.relation.ispartofjournal.none.fl_str_mv Bayesian Analysis
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv International Society for Bayesian Analysis
publisher.none.fl_str_mv International Society for Bayesian Analysis
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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