most citedDynamic dependence networks: Financial time series forecasting and portfolio decisions (with discussion)

36 citations · 36 across the 1 of their papers we have counts for

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1 paper

stat.ME2016★ 36 cited

Dynamic dependence networks: Financial time series forecasting and portfolio decisions (with discussion)

Zoey Yi Zhao, Meng Xie, Mike West

We discuss Bayesian forecasting of increasingly high-dimensional time series, a key area of application of stochastic dynamic models in the financial industry and allied areas of b…