MSc Thesis Supervised by Dr Gareth Peters awarded Winton Capital prize
6 May 2014
UCL graduate Dr Jonathan Cox (MSc Computational Statistics and Machine Learning) has been awarded a prize for his MSc research project supervised and jointly developed with Dr Gareth Peters and Dr Guillaum Bagnarossa (Molinero Capital Management). The Winton Capital Management award winning MSc thesis titled "Methodology for Joint Estimation of Static and Dynamic Parameters in Bayesian CVAR models" is available at the below link.
The project explores aspects of cointegrated Vector Autoregressive models and how Particle MCMC methods may be adopted to perform estimation in such models when the model exhibits dynamic latent process structures.