Factor Multivariate Stochastic Volatility via Wishart Processes
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Publication:5485107
DOI10.1080/07474930600713366zbMath1113.62131OpenAlexW2003866156MaRDI QIDQ5485107
Mark E. Glickman, Alexander Philipov
Publication date: 28 August 2006
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930600713366
Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical analysis or methods applied to Markov chains (65C40)
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Cites Work
- The Wishart autoregressive process of multivariate stochastic volatility
- Partial non-Gaussian state space
- Multivariate Stochastic Variance Models
- Bayesian Vector Autoregressions with Stochastic Volatility
- Common risk factors in the returns on stocks and bonds
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Monte Carlo strategies in scientific computing
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