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Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion
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Time Varying Covariances: A Factor Stochastic Volatility Approach (with discussion (1998)Time Varying Covariances: A Factor Stocha…Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models (2017)Bayesian online variable sele…Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach (2012)Dynamic Factor Volatility Mod…Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (2008)Indirect estimation of large …HEAVY‐TAILED‐DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES (2008)HEAVY‐TAILED‐DISTRIBUTED THRE…Multivariate Stochastic Volatility Models with Correlated Errors (2006)Multivariate Stochastic Volat…Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models (2006)Monte Carlo Likelihood Estima…Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form (2006)Inference for Adaptive Time S…Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities (2002)Comovements and Contagion in …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Applications of State Space Models in finance (2009)Multivariate stochastic volatility, leverage and news impact surfaces (2009)Matrix exponential stochastic volatility with cross leverage (2014)The arbitrage theory of capital asset pricing (1976)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Generalized dynamic factor models and volatilities: estimation and forecasting (2017)Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (2018)M&A rumors about unlisted firms (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The overconfident trading behavior of individual versus institutional investors (2016)A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (2019)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2019)Rational Expectations and the Theory of Price Movements (1961)Forecasting with Unobserved Components Time Series Models (2006)Testing for Conditional Heteroscedasticity in the Components of Inflation (2008)Tests for serial dependence in static, non-Gaussian factor models (2015)Multivariate Stochastic Variance Models (1994)Statistical aspects of ARCH and stochastic volatility (1996)Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching (2015)PORTFOLIO SELECTION* (1952)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Bayesian Forecasting of Many Count-Valued Time Series (2019)Expected stock returns and volatility (1987)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility (2009)A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (2016)
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  • 2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks61 cited
  • 2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form60 cited
  • 2017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models46 cited
  • 2012Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach40 cited
  • 2006Multivariate Stochastic Volatility Models with Correlated Errors37 cited
  • 2006Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models33 cited
  • 2002Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities31 cited
  • 2008HEAVY‐TAILED‐DISTRIBUTED THRESHOLD STOCHASTIC VOLATILITY MODELS IN FINANCIAL TIME SERIES29 cited

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