Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International Journal of Forecasting 30 (2014) 4, pp. 963-980
We extend the recently introduced latent threshold dynamic models to include dependencies among the dynamic latent factors which underlie multivariate volatility. With an ability to induce time-varying sparsity in factor loadings, these models now also allow time-varying correlations among...