Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach

Journal of Financial Econometrics - United Kingdom
doi 10.1093/jjfinec/nbs013
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Oxford University Press (OUP)

Related search

Modeling Dynamic Preferences: A Bayesian Robust Dynamic Latent Ordered Probit Model

Political Analysis
SociologyInternational RelationsPolitical Science
2013English

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Journal of Financial Econometrics
EconomicsEconometricsFinance
2013English

The Determinants of Macroeconomic Volatility: A Bayesian Model Averaging Approach

SSRN Electronic Journal
2010English

Dynamic Factor Models for the Volatility Surface

SSRN Electronic Journal
2015English

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics
EconomicsEconometrics
2016English

A Bayesian Nonparametric Approach to Modeling Motion Patterns

Autonomous Robots
Artificial Intelligence
2011English

Bayesian Inference Applied to Dynamic Nelson-Siegel Model With Stochastic Volatility

Brazilian Review of Econometrics
2010English

A Robust Approach to the Identifcation of Latent Factor Structures

Turkiye Klinikleri Journal of Biostatistics
2018English

A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

Journal of Financial Econometrics
EconomicsEconometricsFinance
2012English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy