Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol

28 June 2019

Papers citing "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol"

7 / 7 papers shown

Title
The Bayesian Context Trees State Space Model for time series modelling and forecasting I. Papageorgiou Ioannis Kontoyiannis AI4TS 25 2 0 02 Aug 2023
A Bayesian Survival Model for Time-Varying Coefficients and Unobserved Heterogeneity Peter Knaus Daniel T. Winkler G. Jomrich 13 1 0 22 Jun 2022
Variational Heteroscedastic Volatility Model Zexuan Yin P. Barucca AI4TS 28 0 0 11 Apr 2022
Recurrent Conditional Heteroskedasticity T.-N. Nguyen Minh-Ngoc Tran Robert Kohn BDL 13 11 0 25 Oct 2020
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP Peter Knaus Angela Bitto-Nemling A. Cadonna Sylvia Fruhwirth-Schnatter 13 20 0 16 Jul 2019
Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? Martin Feldkircher Luis Gruber Florian Huber G. Kastner 33 8 0 01 Nov 2017
Sparse Bayesian vector autoregressions in huge dimensions G. Kastner Florian Huber 35 92 0 11 Apr 2017