Bayesian Analysis

Comment on Article by Windle and Carvalho

Enrique ter Horst and German Molina

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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.

Article information

Bayesian Anal., Volume 9, Number 4 (2014), 809-818.

First available in Project Euclid: 21 November 2014

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Zentralblatt MATH identifier

Stochastic Volatility Financial application EWMA Covariance update


ter Horst, Enrique; Molina, German. Comment on Article by Windle and Carvalho. Bayesian Anal. 9 (2014), no. 4, 809--818. doi:10.1214/14-BA917.

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See also

  • Related item: Jesse Windle and Carlos M. Carvalho. A Tractable State-Space Model for Symmetric Positive-Deffinite Matrices. Bayesian Anal., Vol. 9, Iss. 4 (2014) 759–792.