A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix (Q4970975)
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scientific article; zbMATH DE number 7257893
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| English | A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix |
scientific article; zbMATH DE number 7257893 |
Statements
A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix (English)
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8 October 2020
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correlated factors
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time-varying covariance
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inverse Wishart
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Markov chain Monte Carlo
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stochastic volatility
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0.88174963
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0.8792305
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0.8770715
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0.8680694
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0.8680694
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0.8677324
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0.86543727
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0.86543727
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0.86477715
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0.86311275
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