Rejoinder to ‘Dynamic dependence networks: Financial time series forecasting and portfolio decisions’

Published

Journal Article

Researchers provide a rejoinder to discussion on 'Dynamic dependence networks: Financial time series forecasting and portfolio decisions'. The authors state that there is a need to consider more formal approaches to defining ordering(s) for evaluation. One challenge is to integrate the 'in/out' structures of Bayesian variable selection priors with traditional dynamic models for time evolutions, and this has proven challenging. In a very real, practical sense, the dynamic latent thresholding concept provides for time-adaptive variable selection.

Full Text

Duke Authors

Cited Authors

  • Zhao, Z; Xie, M; West, M

Published Date

  • May 1, 2016

Published In

Volume / Issue

  • 32 / 3

Start / End Page

  • 336 - 339

Electronic International Standard Serial Number (EISSN)

  • 1526-4025

International Standard Serial Number (ISSN)

  • 1524-1904

Digital Object Identifier (DOI)

  • 10.1002/asmb.2169

Citation Source

  • Scopus