Factor Multivariate Stochastic Volatility via Wishart Processes (Q5485107)
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scientific article; zbMATH DE number 5050407
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor Multivariate Stochastic Volatility via Wishart Processes |
scientific article; zbMATH DE number 5050407 |
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Factor Multivariate Stochastic Volatility via Wishart Processes (English)
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28 August 2006
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Bayesian time series
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factor models
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stochastic covariance
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time-varying correlation
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