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Sparse Bayesian time-varying covariance estimation in many dimensions
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Sparse Bayesian time-varying covariance estimation in many dimensions (2018)Sparse Bayesian time-varying covariance e…Large time-varying parameter VARs (2013)Large time-varying parameter …Dynamic Equicorrelation (2012)Dynamic EquicorrelationComparing and evaluating Bayesian predictive distributions of asset returns (2010)Comparing and evaluating Baye…Large Bayesian vector auto regressions (2009)Large Bayesian vector auto re…Analysis of high dimensional multivariate stochastic volatility models (2005)Analysis of high dimensional …On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Honey, I Shrunk the Sample Covariance Matrix (2004)Honey, I Shrunk the Sample Co…Identification Through Heteroskedasticity (2003)Identification Through Hetero…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Bayesian Dynamic Factor Models and Portfolio Allocation (2000)Bayesian Dynamic Factor Model…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Mutual Fund Performance (1966)Mutual Fund PerformanceStatistical Inference in Factor Analysis (1956)Statistical Inference in Fact…Large Order-Invariant Bayesian VARs with Stochastic Volatility (2023)Large Order-Invariant Bayesia…Comparing stochastic volatility specifications for large Bayesian VARs (2022)Comparing stochastic volatili…Variational Bayes approximation of factor stochastic volatility models (2021)Variational Bayes approximati…Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol (2021)Modeling Univariate and Multi…Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection (2020)Comparing high-dimensional co…Large-scale portfolio allocation under transaction costs and model uncertainty (2019)Large-scale portfolio allocat…Bayesian Analysis of Coefficient Instability in Dynamic Regressions (2011)Bayesian Analysis of Coeffici…Tests for Unit Roots: A Monte Carlo Investigation (1989)Forecasting inflation (1999)Inferential Theory for Factor Models of Large Dimensions (2003)A PANIC Attack on Unit Roots and Cointegration (2004)Panel Data Models With Interactive Fixed Effects (2009)TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS (1950)Economic Forces and the Stock Market (1986)Understanding the Mechanisms Through Which an Influential Early Childhood Program Boosted Adult Outcomes (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Panel Vector Autoregressive Models: A Survey (2013)Prior Selection for Vector Autoregressions (2014)U.S. Monetary Policy and the Global Financial Cycle (2020)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Chapter 4 Forecast Combinations (2006)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Measuring The Reaction of Monetary Policy to the Stock Market (2003)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 2009Large Bayesian vector auto regressions1,158 cited
  • 1956Statistical Inference in Factor Analysis966 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2013Large time-varying parameter VARs504 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2000Bayesian Dynamic Factor Models and Portfolio Allocation454 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 2010Comparing and evaluating Bayesian predictive distributions of asset returns376 cited
  • 2005Analysis of high dimensional multivariate stochastic volatility models345 cited

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Cited by

  • 2019Large-scale portfolio allocation under transaction costs and model uncertainty49 cited
  • 2023Large Order-Invariant Bayesian VARs with Stochastic Volatility45 cited
  • 2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol45 cited
  • 2011Bayesian Analysis of Coefficient Instability in Dynamic Regressions41 cited
  • 2022Comparing stochastic volatility specifications for large Bayesian VARs40 cited
  • 2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection27 cited
  • 2021Variational Bayes approximation of factor stochastic volatility models21 cited