A Dynamic Latent-Space Model for Asset Clustering
Author:
Affiliation:
1. Department of Economics, Venice Centre in Economic and Risk Analytics for Public Policies (VERA) , Ca’ Foscari University of Venice , Venice , Italy
2. Department of Economics , Ca’ Foscari University of Venice , Venice , Italy
Abstract
Funder
MUR – PRIN project “Discrete random structures for Bayesian learning and prediction”
Next Generation EU Project GRINS – Growing Resilient, INclusive and Sustainable
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Link
https://www.degruyter.com/document/doi/10.1515/snde-2022-0111/pdf
Reference62 articles.
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3. Arnott, R. D. 1980. “Cluster Analysis and Stock Price Comovement.” Financial Analysts Journal 36 (6): 56–62. https://doi.org/10.2469/faj.v36.n6.56.
4. Barrat, A., M. Barthelemy, R. Pastor-Satorras, and A. Vespignani. 2004. “The Architecture of Complex Weighted Networks.” Proceedings of the National Academy of Sciences 101 (11): 3747–52. https://doi.org/10.1073/pnas.0400087101.
5. Bassetti, F., R. Casarin, and F. Leisen. 2014. “Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference.” Journal of Econometrics 180 (1): 49–72. https://doi.org/10.1016/j.jeconom.2014.01.007.
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