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Comment on article by Windle and Carvalho

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Date
2014
Author
ter Horst, Enrique
Molina, Germán

Citación

       
TY - GEN T1 - Comment on article by Windle and Carvalho UR - http://hdl.handle.net/10726/5128 PB - International Society for Bayesian Analysis AB - ER - @misc{10726_5128, author = {ter Horst Enrique and Molina Germán}, title = {Comment on article by Windle and Carvalho}, language = {eng}, orcid = {ter Horst, Enrique [0000-0001-5153-1475]}, orcid = {Molina, Germán [0000-0003-4693-6907]}, scopus = {ter Horst, Enrique [49561184500]}, scopus = {Molina, Germán [15728099800]}, year1 = {2023-06-21T22:23:11Z}, year2 = {2023-06-21T22:23:11Z}, abstract2 = {The article by Windle and Carvalho introduces a fast update procedure for covariance matrices through the introduction of higher frequency sources of information for the underlying process, demonstrated with a financial application. This discussion focuses on outlining the assumptions and constraints around their use in financial applications, as well as an elicitation of some key choices made for comparison with traditional benchmarks, that may ultimately affect the results.}, instname = {instname:Colegio de Estudios Superiores de Administración – CESA}, reponame = {reponame:Biblioteca Digital – CESA}, typedrive = {info:eu-repo/semantics/article}, url = {http://hdl.handle.net/10726/5128} }RT Generic T1 Comment on article by Windle and Carvalho LK http://hdl.handle.net/10726/5128 PB International Society for Bayesian Analysis AB OL Spanish (121)
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Abstract
The article by Windle and Carvalho introduces a fast update procedure for covariance matrices through the introduction of higher frequency sources of information for the underlying process, demonstrated with a financial application. This discussion focuses on outlining the assumptions and constraints around their use in financial applications, as well as an elicitation of some key choices made for comparison with traditional benchmarks, that may ultimately affect the results.
Full text
https://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.full
URI
http://hdl.handle.net/10726/5128
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  • Artículos y borradores de administración – Working papers [230]

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