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Bayesian Dynamic Factor Models and Portfolio Allocation

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1996Statistical aspects of ARCH and stochastic volatility749 cited
1998Bayesian Forecasting and Dynamic Models (2nd edn)670 cited

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2003Univariate and multivariate stochastic volatility models: estimation and diagnostics259 cited
2005Asset Allocation with a High Dimensional Latent Factor Stochastic Volatility Model230 cited
2005Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system198 cited
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2009

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Multivariate Stochastic Volatility

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2014Bayesian exploratory factor analysis148 cited

2003A full-factor multivariate GARCH model146 cited

2013Dynamic Hierarchical Factor Models141 cited

2004Bayesian Factor Analysis for Spatially Correlated Data, With Application to Summarizing Area-Level Material Deprivation From Census Data140 cited

2014Identification and Bayesian Estimation of Dynamic Factor Models139 cited

2006Chapter 1 Bayesian Forecasting122 cited