Showing 1 - 8 of 8
This paper is concerned with the Bayesian estimation and comparison of flexible, high dimensional multivariate time series models with time varying correlations. The model proposed and considered here combines features of the classical factor model with that of the heavy tailed univariate...
Persistent link: https://www.econbiz.de/10009441545
Persistent link: https://www.econbiz.de/10003569881
Persistent link: https://www.econbiz.de/10010358321
"This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime. In this model,...
Persistent link: https://www.econbiz.de/10002421354
Persistent link: https://www.econbiz.de/10002365024
Persistent link: https://www.econbiz.de/10002396452
This paper is concerned with the fitting and comparison of high dimensional multivariate time series models with time varying correlations. The models considered here combine features of the classical factor model with those of the univariate stochastic volatility model. Specifically, a set of...
Persistent link: https://www.econbiz.de/10010605134
This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the `strength' of the state or how deeply the system is embedded in the current regime. In this model,...
Persistent link: https://www.econbiz.de/10014063587