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Comment on article by Windle and Carvalho

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dc.contributor.authorter Horst, Enriquespa
dc.contributor.authorMolina, Germánspa
dc.contributor.orcidter Horst, Enrique [0000-0001-5153-1475]
dc.contributor.orcidMolina, Germán [0000-0003-4693-6907]
dc.contributor.scopuster Horst, Enrique [49561184500]
dc.contributor.scopusMolina, Germán [15728099800]
dc.date.accessioned2023-06-21T22:23:11Z
dc.date.available2023-06-21T22:23:11Z
dc.date.issued2014
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.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.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.issn1936-0975
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5128
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.language.isoeng
dc.publisherInternational Society for Bayesian Analysis
dc.relation.citationendpage818
dc.relation.citationissue4
dc.relation.citationstartpage809
dc.relation.citationvolume9
dc.relation.ispartofjournalBayesian Analysis
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalStochastic Volatility
dc.subject.proposalFinancial application
dc.subject.proposalEWMA
dc.subject.proposalCovariance update
dc.titleComment on article by Windle and Carvalhoeng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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