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Sparsity modelling in large-scale dynamic models for portfolio analysis

Presented by: 
M West [Duke]
Wednesday 9th January 2008 - 14:00 to 15:00
INI Seminar Room 1
Session Chair: 
Peter Bickel

I will discuss some of our recent work in dynamic modelling for multivariate time series that combines stochastic volatility and graphical modelling ideas. I will describe the modelling ideas and resulting matrix-variate, dynamic graphical models, and aspects of Bayesian methodology and computation for model fitting and structure search. Practical implications of the framework when applied to financial time series for predictive portfolio analysis will highlight some of the reasons for interest in sparsely structured, conditional independence models of volatility matrices.

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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons