Factor stochastic volatility with time varying loadings and Markov switching regimes

  • Hedibert Freitas Lopesa, Carlos Marinho Carvalhob
  • Published 2007

Abstract

Wegeneralize the factor stochastic volatility (FSV)model of Pitt and Shephard [1999.Time varying covariances: a factor stochastic volatility approach (with discussion). In: Bernardo, J.M., Berger, J.O., Dawid, A.P., Smith, A.F.M. (Eds.), Bayesian Statistics, vol. 6, Oxford University Press, London, pp. 547–570.] and Aguilar and West [2000. Bayesian dynamic… (More)

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