Bayesian dynamic financial networks with time-varying predictors
Journal Article (Journal Article)
We propose a targeted and robust modeling of dependence in multivariate time series via dynamic networks, with time-varying predictors included to improve interpretation and prediction. The model is applied to financial markets, estimating effects of verbal and material cooperations. © 2014 Elsevier B.V.
Full Text
Duke Authors
Cited Authors
- Durante, D; Dunson, DB
Published Date
- January 1, 2014
Published In
Volume / Issue
- 93 /
Start / End Page
- 19 - 26
International Standard Serial Number (ISSN)
- 0167-7152
Digital Object Identifier (DOI)
- 10.1016/j.spl.2014.06.015
Citation Source
- Scopus