Bayesian dynamic financial networks with time-varying predictors
Publication
, Journal Article
Durante, D; Dunson, DB
Published in: Statistics and Probability Letters
January 1, 2014
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.
Duke Scholars
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Published In
Statistics and Probability Letters
DOI
ISSN
0167-7152
Publication Date
January 1, 2014
Volume
93
Start / End Page
19 / 26
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0102 Applied Mathematics
Citation
APA
Chicago
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Durante, D., & Dunson, D. B. (2014). Bayesian dynamic financial networks with time-varying predictors. Statistics and Probability Letters, 93, 19–26. https://doi.org/10.1016/j.spl.2014.06.015
Durante, D., and D. B. Dunson. “Bayesian dynamic financial networks with time-varying predictors.” Statistics and Probability Letters 93 (January 1, 2014): 19–26. https://doi.org/10.1016/j.spl.2014.06.015.
Durante D, Dunson DB. Bayesian dynamic financial networks with time-varying predictors. Statistics and Probability Letters. 2014 Jan 1;93:19–26.
Durante, D., and D. B. Dunson. “Bayesian dynamic financial networks with time-varying predictors.” Statistics and Probability Letters, vol. 93, Jan. 2014, pp. 19–26. Scopus, doi:10.1016/j.spl.2014.06.015.
Durante D, Dunson DB. Bayesian dynamic financial networks with time-varying predictors. Statistics and Probability Letters. 2014 Jan 1;93:19–26.
Published In
Statistics and Probability Letters
DOI
ISSN
0167-7152
Publication Date
January 1, 2014
Volume
93
Start / End Page
19 / 26
Related Subject Headings
- Statistics & Probability
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0102 Applied Mathematics