Xin Jin

Shanghai University of Finance and Economics - School of Economics

777 Guoding Road

Shanghai, 200433

China

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Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices

ShanghaiTech SEM Working Paper No. 2018-005
Number of pages: 36 Posted: 10 Apr 2018 Last Revised: 08 Nov 2018
Xin Jin, John M. Maheu and Qiao Yang
Shanghai University of Finance and Economics - School of Economics, McMaster University - Michael G. DeGroote School of Business and ShanghaiTech University - School of Entrepreneurship and Management
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Abstract:

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in finite hidden Markov model, Dirichlet process mixture, inverse-Wishart, predictive density, high-frequency data