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

zbMATH Open1413.62189MaRDI QIDQ4615972FDOQ4615972

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

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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)

Cited In (2)

• Factor stochastic volatility with time-varying loadings
• Title not available (Why is that?)

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