Factor stochastic volatility with time varying loadings and Markov switching regimes
DOI10.1016/J.JSPI.2006.06.047zbMATH Open1331.62064OpenAlexW2150018836MaRDI QIDQ997296FDOQ997296
Hedibert F. Lopes, Carlos M. Carvalho
Publication date: 23 July 2007
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2006.06.047
Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Stochastic models in economics (91B70)
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Cited In (22)
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- Title not available (Why is that?)
- Bayesian semiparametric Markov switching stochastic volatility model
- Parsimony inducing priors for large scale state-space models
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- Bayesian sparse covariance decomposition with a graphical structure
- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Structured prior distributions for the covariance matrix in latent factor models
- Multivariate Stochastic Volatility Model with Cross Leverage
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
- Generalized mixed spatiotemporal modeling with a continuous response and random effect via factor analysis
- Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
- Skew selection for factor stochastic volatility models
- Bayesian Computation in Dynamic Latent Factor Models
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
- Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression
- Words are the New Numbers: A Newsy Coincident Index of the Business Cycle
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Multivariate Wishart stochastic volatility and changes in regime
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Generalized spatial dynamic factor models
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