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Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic linear models

Publication ,  Journal Article
West, M; Gruber, LF
Published in: Econometrics and Statistics
2017
Published version (DOI) Publisher Link Link to item

Duke Scholars

Mike West
Author Mike West Statistical Science

Published In

Econometrics and Statistics

DOI

10.1016/j.ecosta.2017.03.003

Publication Date

2017

Related Subject Headings

  • 4905 Statistics
  • 3802 Econometrics
 

Citation

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West, M., & Gruber, L. F. (2017). Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic linear models. Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2017.03.003
West, M., and L. F. Gruber. “Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic linear models.” Econometrics and Statistics, 2017. https://doi.org/10.1016/j.ecosta.2017.03.003.
West, M., and L. F. Gruber. “Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic linear models.” Econometrics and Statistics, 2017. Manual, doi:10.1016/j.ecosta.2017.03.003.

Published In

Econometrics and Statistics

DOI

10.1016/j.ecosta.2017.03.003

Publication Date

2017

Related Subject Headings

  • 4905 Statistics
  • 3802 Econometrics