Factor stochastic volatility with time varying loadings and Markov switching regimes

DOI10.1016/j.jspi.2006.06.047zbMath1331.62064OpenAlexW2150018836MaRDI QIDQ997296

Hedibert Freitas Lopes, Carlos Marinho Carvalho

Publication date: 23 July 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2006.06.047

zbMATH Keywords

Markov switchingfactor analysisBayesian inferencevariance decompositiondynamic models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Bootstrap, jackknife and other resampling methods (62F40) Stochastic models in economics (91B70)

Related Items

Skew selection for factor stochastic volatility models, Multivariate Wishart stochastic volatility and changes in regime, Bayesian sparse covariance decomposition with a graphical structure, Bayesian Computation in Dynamic Latent Factor Models, Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis, Parsimony inducing priors for large scale state-space models, Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, Dynamic factor, leverage and realized covariances in multivariate stochastic volatility, Generalized spatial dynamic factor models, Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing, Unnamed Item, Multivariate Stochastic Volatility Model with Cross Leverage, Sparse Bayesian time-varying covariance estimation in many dimensions, A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix, Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions, Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression

Cites Work

• Unnamed Item
• Unnamed Item
• Analysis of high dimensional multivariate stochastic volatility models
• Bayesian forecasting and dynamic models.
• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Autoregressive conditional heteroskedasticity and changes in regime
• Spatial dynamic factor analysis
• Sequential Monte Carlo Methods in Practice
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Multivariate Stochastic Variance Models
• On Gibbs sampling for state space models
• A full-factor multivariate GARCH model
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models