Factor stochastic volatility with time varying loadings and Markov switching regimes
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Cites work
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 1522717 (Why is no real title available?)
- A full-factor multivariate GARCH model
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Cited in
(24)- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Words are the New Numbers: A Newsy Coincident Index of the Business Cycle
- Multivariate Wishart stochastic volatility and changes in regime
- Multivariate stochastic volatility model with cross leverage
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Factor stochastic volatility with time-varying loadings
- Skew selection for factor stochastic volatility models
- Structured prior distributions for the covariance matrix in latent factor models
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
- scientific article; zbMATH DE number 7387627 (Why is no real title available?)
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Bayesian semiparametric Markov switching stochastic volatility model
- Time series analysis with time varying covariances via latent factors with stochastic volatility
- Generalized mixed spatiotemporal modeling with a continuous response and random effect via factor analysis
- Bayesian Computation in Dynamic Latent Factor Models
- Parsimony inducing priors for large scale state-space models
- Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- Generalized spatial dynamic factor models
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Bayesian sparse covariance decomposition with a graphical structure
- Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
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