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