Factor Multivariate Stochastic Volatility via Wishart Processes
Year of publication: |
2006
|
---|---|
Authors: | Philipov, Alexander ; Glickman, Mark |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 25.2006, 2-3, p. 311-334
|
Publisher: |
Taylor & Francis Journals |
Subject: | Bayesian time series | Factor models | Stochastic covariance | Time-varying correlation |
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