Factor stochastic volatility with time varying loadings and Markov switching regimes

Journal of Statistical Planning and Inference

Volumn 137, Issue 10, 2007, Pages 3082-3091

  Lopes, Hedibert Freitas ^a   Carvalho, Carlos Marinho ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Bayesian inference; Dynamic models; Factor analysis; Markov switching; Variance decomposition

Indexed keywords

EID: 34250191103     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2006.06.047     Document Type: Article

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