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Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor.
In: Papers.
RePEc:arx:papers:1608.08468.

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Cited: 9

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Cites: 62

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  2. Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick.
    In: Journal of Empirical Finance.
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  3. Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership. (2019). Zens, Gregor.
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  4. On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar.
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  5. Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp.
    In: Papers.
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  6. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan.
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  7. Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian.
    In: Papers.
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  8. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
    In: CFS Working Paper Series.
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  9. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia.
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    RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303398.

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  33. Financial bridges and network communities. (2018). Yenerdag, Erdem ; Costola, Michele ; Casarin, Roberto.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:208.

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  34. A scoring rule for factor and autoregressive models under misspecification. (2018). Sartore, Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ven:wpaper:2018:18.

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  35. The Janus face nature of debt : results from a data-driven cointegrated SVAR approach. (2018). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/574jpbbn0f8f5r56hqi6mjgm9d.

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  36. Bayesian identification of structural vector autoregression models. (2018). Khabibullin, Ramis ; Arefiev, Nikolay.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0340.

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  37. Latent Factor Models for Credit Scoring in P2P Systems. (2018). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo.
    In: MPRA Paper.
    RePEc:pra:mprapa:92636.

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  38. Modeling Systemic Risk with Markov Switching Graphical SUR Models. (2018). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto.
    In: Working Papers.
    RePEc:igi:igierp:626.

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  39. Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach. (2018). Yin, Libo ; Ma, Xiyuan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:508:y:2018:i:c:p:434-453.

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  40. Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. (2018). Gözgör, Giray ; Demir, Ender ; Vigne, Samuel A ; Marco, Chi Keung ; Gozgor, Giray .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:26:y:2018:i:c:p:145-149.

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  41. Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model. (2018). GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung ; Hosseini, Seyed Mehdi.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:34:y:2018:i:c:p:124-142.

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  42. The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2017/04.

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  43. The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/3l2vounfl99nvqsr0k24sn3k5l.

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  44. Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model. (2017). Lau, Chi Keung ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung ; Hosseini, Seyed Mehdi.
    In: Working Papers.
    RePEc:pre:wpaper:201704.

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  45. The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1702.

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  46. Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach. (2017). Teye, Alfred Larm ; Ahelegbey, Daniel Felix .
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:65:y:2017:i:c:p:56-64.

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  47. Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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  48. Sparse Bayesian time-varying covariance estimation in many dimensions. (2017). Kastner, Gregor.
    In: Papers.
    RePEc:arx:papers:1608.08468.

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  49. The Econometrics of Bayesian Graphical Models: A Review With Financial Application. (2016). Ahelegbey, Daniel Felix.
    In: MPRA Paper.
    RePEc:pra:mprapa:92634.

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  50. An entropy-based early warning indicator for systemic risk. (2016). Billio, Monica ; Costola, Michele ; Casarin, Roberto ; Pasqualini, Andrea .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:45:y:2016:i:c:p:42-59.

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