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  • 标题:Comment on Article by Windle and Carvalho
  • 本地全文:下载
  • 作者:Enrique ter Horst ; German Molina
  • 期刊名称:Bayesian Analysis
  • 印刷版ISSN:1931-6690
  • 电子版ISSN:1936-0975
  • 出版年度:2014
  • 卷号:9
  • 期号:4
  • 页码:809-818
  • DOI:10.1214/14-BA917
  • 语种:English
  • 出版社:International Society for Bayesian Analysis
  • 摘要:The article by Windle and Carvalho introduces a fast update procedure for covariance matrices through the introduction of higher frequency sources of information for the underlying process, demonstrated with a financial application. This discussion focuses on outlining the assumptions and constraints around their use in financial applications, as well as an elicitation of some key choices made for comparison with traditional benchmarks, that may ultimately affect the results.
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