Factor multivariate stochastic volatility via Wishart processes

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 311-334

  Philipov, Alexander ^a   Glickman, Mark E ^b  

^a AMERICAN UNIVERSITY   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

Bayesian time series; Factor models; Stochastic covariance; Time varying correlation

Indexed keywords

EID: 33747756895     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713366     Document Type: Article

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