Time series analysis with time varying covariances via latent factors with stochastic volatility

MaRDI QIDQ4615972zbMATH OpenFDO

Authors Luiz Koodi Hotta, Rodrigo Tsai

Publication date 29 January 2019

Full work available at URL http://jaguar.fcav.unesp.br/RME/fasciculos/v23/v23_n2/A3_Tsai.pdf

zbMATH Keywords

time serieslatent variablesmultivariate statisticsstochastic volatilitysimulation methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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