The covariance matrix of asset returns is the key input for many problems in finance and economics. This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from ...

In the Big Data era, many scientific and engineering domains are producing massive data streams, with petabyte and exabyte scales becoming increasingly common. Besides the explosive growth in volume, ...

Bayesian analysis offers a robust framework for deciphering the intricate dynamics of time series data. By treating unknown parameters as random variables, this approach incorporates prior information ...