Factor stochastic volatility with time varying loadings and Markov switching regimes (Q997296)
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scientific article; zbMATH DE number 5173681
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor stochastic volatility with time varying loadings and Markov switching regimes |
scientific article; zbMATH DE number 5173681 |
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Factor stochastic volatility with time varying loadings and Markov switching regimes (English)
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23 July 2007
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Bayesian inference
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factor analysis
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variance decomposition
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dynamic models
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Markov switching
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