Philipov, Alexander; Glickman, Mark - In: Econometric Reviews 25 (2006) 2-3, pp. 311-334
This paper proposes a high dimensional factor multivariate stochastic volatility (MSV) model in which factor covariance matrices are driven by Wishart random processes. The framework allows for unrestricted specification of intertemporal sensitivities, which can capture the persistence in...