Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Journal title
Language
English
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Contents
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 assets are as necessary as are delicate in a time-d...
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Full title
Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
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TN_cdi_doaj_primary_oai_doaj_org_article_51a9e2db43004ebca08e17d6387810a9
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_51a9e2db43004ebca08e17d6387810a9
Other Identifiers
ISSN
2199-4730
E-ISSN
2199-4730
DOI
10.1186/s40854-022-00355-4
