4.5 Article

Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Economics

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling

Joshua C. C. Chan

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2017)

Article Statistics & Probability

Interweaving Markov Chain Monte Carlo Strategies for Efficient Estimation of Dynamic Linear Models

Matthew Simpson et al.

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2017)

Article Computer Science, Interdisciplinary Applications

Dealing with Stochastic Volatility in Time Series Using the R Package stochvol

Gregor Kastner

JOURNAL OF STATISTICAL SOFTWARE (2016)

Article Computer Science, Interdisciplinary Applications

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

Gregor Kastner et al.

COMPUTATIONAL STATISTICS & DATA ANALYSIS (2014)

Article Economics

Bayesian exploratory factor analysis

Gabriella Conti et al.

JOURNAL OF ECONOMETRICS (2014)

Article Economics

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Xiaocong Zhou et al.

INTERNATIONAL JOURNAL OF FORECASTING (2014)

Article Business, Finance

Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach

Jouchi Nakajima et al.

JOURNAL OF FINANCIAL ECONOMETRICS (2013)

Article Statistics & Probability

To Center or Not to Center: That Is Not the Question-An Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Efficiency

Yaming Yu et al.

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2011)

Article Economics

Stochastic model specification search for Gaussian and partial non-Gaussian state space models

Sylvia Fruehwirth-Schnatter et al.

JOURNAL OF ECONOMETRICS (2010)

Article Statistics & Probability

Default Prior Distributions and Efficient Posterior Computation in Bayesian Factor Analysis

Joyee Ghosh et al.

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2009)

Article Business, Finance

Bayesian analysis of linear factor models with latent factors, Multivariate Stochastic volatility, and APT pricing restrictions

Federico Nardari et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2007)

Article Economics

Stochastic volatility with leverage: Fast and efficient likelihood inference

Yasuhiro Omori et al.

JOURNAL OF ECONOMETRICS (2007)

Article Statistics & Probability

Factor stochastic volatility with time varying loadings and Markov switching regimes

Hedibert Freitas Lopes et al.

JOURNAL OF STATISTICAL PLANNING AND INFERENCE (2007)

Article Statistics & Probability

A general framework for the parametrization of hierarchical models

Omiros Papaspiliopoulos et al.

STATISTICAL SCIENCE (2007)

Article Economics

Analysis of high dimensional multivariate stochastic volatility models

Siddhartha Chib et al.

JOURNAL OF ECONOMETRICS (2006)

Article Business, Finance

Asset allocation with a high dimensional latent factor stochastic volatility model

YF Han

REVIEW OF FINANCIAL STUDIES (2006)

Article Statistics & Probability

The art of data augmentation

DA van Dyk et al.

JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS (2001)