Bayesian dynamic factor models and portfolio allocation

Journal of Business and Economic Statistics

Volumn 18, Issue 3, 2000, Pages 338-357

  Aguilar, Omar ^a   West, Mike ^b  

^a Merrill Lynch Mexico   (Mexico)

^b DUKE UNIVERSITY   (United States)

Author keywords

Dynamic factor analysis; Dynamic linear models; Exchange rates forecasting; Markov chain Monte Carlo; Multivariate stochastic volatility; Portfolio selection; Sequential forecasting; Variance matrix discounting

Indexed keywords

EID: 0034413190     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2000.10524875     Document Type: Article

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