Zobrazeno 1 - 3
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pro vyhledávání: '"Sikaria, Shubhangi"'
Publikováno v:
2021 Journal of Statistical Theory and Practice, 15: 40
We develop a multivariate functional autoregressive model (MFAR), which captures the cross-correlation among multiple functional time series and thus improves forecast accuracy. We estimate the parameters under the Bayesian dynamic linear models (DLM
Externí odkaz:
http://arxiv.org/abs/2112.15315
Publikováno v:
2021 Journal of Statistical Theory and Practice, 15: 40
For a long investment time horizon, it is preferable to rebalance the portfolio weights at intermediate times. This necessitates a multi-period market model in which portfolio optimization is usually done through dynamic programming. However, this as
Externí odkaz:
http://arxiv.org/abs/1911.07526
Publikováno v:
Journal of Quantitative Economics; September 2022, Vol. 20 Issue: Supplement 1 p191-210, 20p