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...

Descripción completa

Detalles Bibliográficos
Autores principales: Stolfi, Paola, Bernardi, Mauro, Vergni, Davide
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Research
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

Internet

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

Ejemplares similares