This paper picks up on a model developed by Philipov and Glickman (2006) for modeling multivariate stochastic volatility via Wishart processes. MCMC simulation from the posterior distribution is employed to fit the model. However, erroneous mathematical transformations in the full conditionals...

This paper picks up on a model developed by Philipov and Glickman (2006) for modeling multivariate stochastic volatility via Wishart processes. MCMC simulation from the posterior distribution is employed to fit the model. However, erroneous mathematical transformations in the full conditionals...

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

This paper has two major objectives. First, we develop and implement a Bayesian generalized factor model that allows for non-orthogonality of the idiosyncratic factors and the flexibility of cross-sectional and time series dimensions. Second, we evaluate the significance of the orthogonality...

This paper has two main objectives. The first objective is to propose a new indicator of core inflation, which is obtained by cleaning month on month relative price fluctuations from overall price changes and idiosyncratic dynamics. We use a factor model with the subcomponents of CPI inflation...

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

This paper has two main objectives. The first objective is to propose a new indicator of core inflation, which is obtained by idiosyncratic dynamics and cleaning month on month relative price fluctuations from overall price changes. We use a factor model with the subcomponents of CPI inflation...

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...