A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
From MaRDI portal
Publication:4970975
Recommendations
- Dynamic correlation multivariate stochastic volatility with latent factors
- Estimating factor models for multivariate volatilities: an innovation expansion method
- Time varying factor models with possibly strongly correlated noises
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: estimation and forecasting
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- A factor-GARCH model for high dimensional volatilities
Cites work
- Adaptive Rejection Metropolis Sampling within Gibbs Sampling
- Analysis of high dimensional multivariate stochastic volatility models
- Bayes Factors
- Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
- Factor Multivariate Stochastic Volatility via Wishart Processes
- Factor stochastic volatility with time varying loadings and Markov switching regimes
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- Maximum Likelihood Estimation of the Parameters of the Gamma Distribution and Their Bias
- Monte Carlo strategies in scientific computing
- Multivariate Stochastic Variance Models
- Numerical methods of statistics
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- The structure of dynamic correlations in multivariate stochastic volatility models
Cited in
(4)- On the degrees of freedom in MCMC-based Wishart models for time series data
- An algorithm for constructing nonnegative matrices with prescribed real eigenvalues
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- Dynamic correlation multivariate stochastic volatility with latent factors
This page was built for publication: A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4970975)
