Pages that link to "Item:Q302187"

The following pages link to The structure of dynamic correlations in multivariate stochastic volatility models (Q302187):

Displaying 30 items.

• Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs (Q342247) (← links)
• A semiparametric stochastic volatility model (Q738174) (← links)
• Comparison of MCMC methods for estimating stochastic volatility models (Q816059) (← links)
• State dependent correlations in the Vasicek default model (Q830304) (← links)
• Correlations and bounds for stochastic volatility models (Q877000) (← links)
• Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
• A tractable state-space model for symmetric positive-definite matrices (Q899053) (← links)
• Hellinger distance and non-informative priors (Q899064) (← links)
• A multivariate threshold stochastic volatility model (Q960327) (← links)
• Multivariate Wishart stochastic volatility and changes in regime (Q1622088) (← links)
• Vine-copula GARCH model with dynamic conditional dependence (Q1623562) (← links)
• On the degrees of freedom in MCMC-based Wishart models for time series data (Q2018621) (← links)
• Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Parsimony inducing priors for large scale state-space models (Q2155306) (← links)
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio (Q2163718) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Multivariate asset price dynamics with stochastic covariation (Q2994859) (← links)
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets (Q3182774) (← links)
• The shifting dependence dynamics between the G7 stock markets (Q4554463) (← links)
• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix (Q4970975) (← links)
• A Survey on Time-Varying Copulas: Specification, Simulations, and Application (Q5080162) (← links)
• Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis (Q5312584) (← links)
• Multivariate Stochastic Volatility: A Review (Q5485102) (← links)
• Bayesian semiparametric modeling of realized covariance matrices (Q5964748) (← links)
• Dynamic correlation multivariate stochastic volatility with latent factors (Q6089161) (← links)
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models (Q6108290) (← links)
• High‐dimensional sparse multivariate stochastic volatility models (Q6135331) (← links)
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (Q6623167) (← links)
• Large Order-Invariant Bayesian VARs with Stochastic Volatility (Q6626250) (← links)