A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix

DOI10.1177/1471082X13490016OpenAlexW2137650757WikidataQ57443451 ScholiaQ57443451MaRDI QIDQ4970975

Yu-Cheng Ku, Peter Bloomfield, Sujit Kumar Ghosh

Publication date: 8 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.3259

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carloinverse Wisharttime-varying covariancecorrelated factors

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

An algorithm for constructing nonnegative matrices with prescribed real eigenvalues ⋮ Dynamic correlation multivariate stochastic volatility with latent factors ⋮ Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions ⋮ On the degrees of freedom in MCMC-based Wishart models for time series data

Uses Software

• Ox
• rmgarch

Cites Work

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• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Bayes Factors
• Factor Multivariate Stochastic Volatility via Wishart Processes
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Maximum Likelihood Estimation of the Parameters of the Gamma Distribution and Their Bias
• Numerical Methods of Statistics
• Monte Carlo strategies in scientific computing

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