Dynamic factor volatility modeling: A bayesian latent threshold approach

Journal of Financial Econometrics

Volumn 11, Issue 1, 2012, Pages 116-153

  Nakajima, Jouchi ^a   West, Mike ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

Bayesian forecasting; Latent threshold dynamic models; Multivariate stochastic volatility; Portfolio allocation; Sparse time varying loadings; Time varying variable selection

Indexed keywords

EID: 84871342229     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbs013     Document Type: Article

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