Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151500 | Statistics & Probability Letters | 2014 | 8 Pages |
Abstract
We propose a targeted and robust modeling of dependence in multivariate time series via dynamic networks, with time-varying predictors included to improve interpretation and prediction. The model is applied to financial markets, estimating effects of verbal and material cooperations.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daniele Durante, David B. Dunson,