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math.ST2017★ 9 cited
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
David Bauder, Taras Bodnar, Nestor Parolya +1
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informat…
math.ST2016★ 45 cited
Generalized Spatial and Spatiotemporal Autoregressive Conditional Heteroscedasticity
Philipp Otto, Wolfgang Schmid, Robert Garthoff
In this paper, we introduce a new spatial model that incorporates heteroscedastic variance depending on neighboring locations. The proposed process is regarded as the spatial equiv…