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Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012203994

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2018

Persistent link: https://www.econbiz.de/10012196752

Multivariate Stochastic Volatility with Co-Heteroscedasticity

Chan, Joshua C. C.; Doucet, Arnaud; Leon-Gonzalez, Roberto - 2018

This paper develops a new methodology that decomposes shocks into homoscedastic and heteroscedastic components. This specification implies there exist linear combinations of heteroscedastic variables that eliminate heteroscedasticity. That is, these linear combinations are homoscedastic; a...

Persistent link: https://www.econbiz.de/10014110558

Multivariate stochastic volatility with co-heteroscedasticity

Chan, Joshua; Doucet, Arnaud; León-González, Roberto; … - 2020 - This version: September 2020

Persistent link: https://www.econbiz.de/10013355422

Bayesian dynamic factor models and portfolio allocation

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Persistent link: https://www.econbiz.de/10001493865

Dynamic factor volatility modeling : a Bayesian latent threshold approach

Nakajima, Jouchi; West, Mike - In: Journal of financial econometrics : official journal of … 11 (2013) 1, pp. 116-153

Persistent link: https://www.econbiz.de/10009708923

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Zhou, Xiaocong; Nakajima, Jouchi; West, Mike - In: International journal of forecasting 30 (2014) 4, pp. 963-980

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Bayesian analysis of latent threshold dynamic models

Nakajima, Jouchi; West, Mike - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 151-164

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