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Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion · Study

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PreprintTime Varying Covariances: A Factor Stochastic Volatility Approach (with discussion

Neil Shephard1998

Preprint1998

Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion

69 citations·0/0 files stored·RePEc: Research Papers in Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form 2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models 2012Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach 2006Multivariate Stochastic Volatility Models with Correlated Errors 2006Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models 2002Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities 2008HEAVY‐TAILED‐DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES

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Year1998

Typepreprint

Published1998-01-01

VenueRePEc: Research Papers in Economics

Languageen

Citations69

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ShelfFinancial Risk and Volatility Modeling

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openalex_workW799012980

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