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Comment on article by Windle and Carvalho

dc.contributor.authorter Horst, Enriquespa
dc.contributor.authorMolina, Germánspa
dc.date.accessioned2023-06-21T22:23:11Z
dc.date.available2023-06-21T22:23:11Z
dc.date.issued2014
dc.identifier.issn1936-0975
dc.identifier.urihttp://hdl.handle.net/10726/5128
dc.language.isoeng
dc.publisherInternational Society for Bayesian Analysis
dc.titleComment on article by Windle and Carvalhoeng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.localAbierto (Texto Completo)
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishThe 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.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume9
dc.relation.citationissue4
dc.relation.citationstartpage809
dc.relation.citationendpage818
dc.contributor.orcidter Horst, Enrique [0000-0001-5153-1475]
dc.contributor.orcidMolina, Germán [0000-0003-4693-6907]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopuster Horst, Enrique [49561184500]
dc.contributor.scopusMolina, Germán [15728099800]
dc.description.orcidhttps://orcid.org/0000-0001-5153-1475
dc.description.orcidhttps://orcid.org/0000-0003-4693-6907
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=49561184500
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=15728099800
dc.identifier.eissn1931-6690
dc.relation.ispartofjournalBayesian Analysis
dc.identifier.urlhttps://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.full
dc.subject.proposalStochastic Volatility
dc.subject.proposalFinancial application
dc.subject.proposalEWMA
dc.subject.proposalCovariance update
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2


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