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