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20142024
most citedEfficient Bayesian inference for stochastic volatility models with ensemble MCMC methods

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stat.AP2024

Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration

Parley R Yang, Alexander Y Shestopaloff

We employ a Bayesian modelling technique for high dimensional cointegration estimation to construct low volatility portfolios from a large number of stocks. The proposed Bayesian f…