Article ID Journal Published Year Pages File Type
1151500 Statistics & Probability Letters 2014 8 Pages PDF
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.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Bayesian dynamic financial networks with time-varying predictors
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