SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach
11 references·1 citing·42 second hop
Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach (2012)Dynamic Factor Volatility Modeling: A Bay…Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR (2010)Changes in the Transmission o…Factor stochastic volatility with time varying loadings and Markov switching regimes (2007)Factor stochastic volatility …Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Bayesian Dynamic Factor Models and Portfolio Allocation (2000)Bayesian Dynamic Factor Model…Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion (1998)Time Varying Covariances: A F…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2019)Bayesian forecasting of multi…Multivariate Stochastic Variance Models (1994)Analysis of high dimensional multivariate stochastic volatility models (2005)Multivariate Stochastic Volatility: A Review (2006)The Nature of Political Ideology in the Contemporary Electorate (2009)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)5 Stochastic volatility (1996)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)Macroeconomics and Reality (1980)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Large Bayesian vector auto regressions (2009)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Dynamic Conditional Correlation (2002)Spatial dynamic factor analysis (2008)Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models (2014)Nonlinear dependence in cryptocurrency markets (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The detection and estimation of long memory in stochastic volatility (1998)Maximum likelihood estimation of stochastic volatility models (2006)Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form (2006)Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (2008)Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models (2017)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach1,852 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models611 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
  • 2007Factor stochastic volatility with time varying loadings and Markov switching regimes97 cited
  • 1998Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion69 cited
  • 2010Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR35 cited

Cited by

  • 2019Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions43 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work