Bayesian Analysis

Comment on Article by Windle and Carvalho

Enrique ter Horst and German Molina

Full-text: Open access

Abstract

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

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

Dates
First available in Project Euclid: 21 November 2014

Permanent link to this document
https://projecteuclid.org/euclid.ba/1416579179

Digital Object Identifier
doi:10.1214/14-BA917

Mathematical Reviews number (MathSciNet)
MR3293956

Zentralblatt MATH identifier
1327.62176

Keywords
Stochastic Volatility Financial application EWMA Covariance update

Citation

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. https://projecteuclid.org/euclid.ba/1416579179


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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.