Comment on article by Windle and Carvalho
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 constraint...
- Autores:
-
ter Horst, Enrique
Molina, Germán
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2014
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5128
- Acceso en línea:
- http://hdl.handle.net/10726/5128
https://projecteuclid.org/journals/bayesian-analysis/volume-9/issue-4/Comment-on-Article-by-Windle-and-Carvalho/10.1214/14-BA917.full
- Palabra clave:
- Stochastic Volatility
Financial application
EWMA
Covariance update
- Rights
- openAccess
- License
- Abierto (Texto Completo)
| Summary: | 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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