Open Access
December 2014 Comment on Article by Windle and Carvalho
Enrique ter Horst, German Molina
Bayesian Anal. 9(4): 809-818 (December 2014). DOI: 10.1214/14-BA917


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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Enrique ter Horst. German Molina. "Comment on Article by Windle and Carvalho." Bayesian Anal. 9 (4) 809 - 818, December 2014.


Published: December 2014
First available in Project Euclid: 21 November 2014

zbMATH: 1327.62176
MathSciNet: MR3293956
Digital Object Identifier: 10.1214/14-BA917

Keywords: Covariance update , EWMA , Financial application , stochastic volatility

Rights: Copyright © 2014 International Society for Bayesian Analysis

Vol.9 • No. 4 • December 2014
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