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Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship among a...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer Berlin Heidelberg
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9068262/ https://www.ncbi.nlm.nih.gov/pubmed/35535250 http://dx.doi.org/10.1186/s40854-022-00355-4 |