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Efficient Bayesian Inference for Multivariate Factor Stochastic
  Volatility Models
v1v2v3 (latest)

Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

26 February 2016
G. Kastner
Sylvia Fruhwirth-Schnatter
H. Lopes
ArXiv (abs)PDFHTML

Papers citing "Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models"

19 / 19 papers shown
Recursive variational Gaussian approximation with the Whittle likelihood
  for linear non-Gaussian state space models
Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models
Bao Anh Vu
David Gunawan
Andrew Zammit-Mangion
239
1
0
23 Jun 2024
Probabilistic Time Series Forecasts with Autoregressive Transformation
  Models
Probabilistic Time Series Forecasts with Autoregressive Transformation Models
David Rügamer
Philipp F. M. Baumann
Thomas Kneib
Torsten Hothorn
AI4TS
397
14
0
15 Oct 2021
Efficiently resolving rotational ambiguity in Bayesian matrix sampling
  with matching
Efficiently resolving rotational ambiguity in Bayesian matrix sampling with matchingBayesian Analysis (BA), 2021
Evan Poworoznek
F. Ferrari
David B. Dunson
154
20
0
29 Jul 2021
Efficient Bayesian Modeling of Binary and Categorical Data in R: The UPG
  Package
Efficient Bayesian Modeling of Binary and Categorical Data in R: The UPG Package
Gregor Zens
Sylvia Fruhwirth-Schnatter
Helga Wagner
SyDa
312
5
0
07 Jan 2021
A Nonconvex Framework for Structured Dynamic Covariance Recovery
A Nonconvex Framework for Structured Dynamic Covariance Recovery
Katherine Tsai
Mladen Kolar
Oluwasanmi Koyejo
488
3
0
11 Nov 2020
Variational Approximation of Factor Stochastic Volatility Models
Variational Approximation of Factor Stochastic Volatility Models
David Gunawan
Robert Kohn
David J. Nott
361
8
0
13 Oct 2020
Bayesian Computation in Dynamic Latent Factor Models
Bayesian Computation in Dynamic Latent Factor ModelsJournal of Computational And Graphical Statistics (JCGS), 2020
Isaac Lavine
Andrew Cron
M. West
AI4TS
142
8
0
09 Jul 2020
On the relationship between beta-Bartlett and Uhlig extended processes
On the relationship between beta-Bartlett and Uhlig extended processes
Víctor Pena
Kaoru Irie
244
0
0
24 Jun 2020
Bayesian forecasting of multivariate time series: Scalability, structure
  uncertainty and decisions
Bayesian forecasting of multivariate time series: Scalability, structure uncertainty and decisionsAnnals of the Institute of Statistical Mathematics (AISM), 2019
M. West
BDLAI4TS
252
48
0
21 Nov 2019
Shrinkage in the Time-Varying Parameter Model Framework Using the R
  Package shrinkTVP
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVPJournal of Statistical Software (JSS), 2019
Peter Knaus
Angela Bitto-Nemling
A. Cadonna
Sylvia Fruhwirth-Schnatter
293
28
0
16 Jul 2019
Modeling Univariate and Multivariate Stochastic Volatility in R with
  stochvol and factorstochvol
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvolJournal of Statistical Software (JSS), 2019
Darjus Hosszejni
G. Kastner
214
56
0
28 Jun 2019
Bayesian prediction of jumps in large panels of time series data
Bayesian prediction of jumps in large panels of time series data
Angelos N. Alexopoulos
P. Dellaportas
O. Papaspiliopoulos
AI4TS
333
5
0
28 Mar 2019
Efficient Bayesian inference for nonlinear state space models with
  univariate autoregressive state equation
Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equationJournal of Computational And Graphical Statistics (JCGS), 2019
A. Kreuzer
C. Czado
245
5
0
27 Feb 2019
Approaches Toward the Bayesian Estimation of the Stochastic Volatility
  Model with Leverage
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with LeverageSpringer Proceedings in Mathematics & statistics (MS), 2019
Darjus Hosszejni
G. Kastner
121
9
0
31 Jan 2019
Bayesian inference for a single factor copula stochastic volatility
  model using Hamiltonian Monte Carlo
Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo
A. Kreuzer
C. Czado
200
9
0
26 Aug 2018
Sparse Bayesian vector autoregressions in huge dimensions
Sparse Bayesian vector autoregressions in huge dimensions
G. Kastner
Florian Huber
282
97
0
11 Apr 2017
Achieving Shrinkage in a Time-Varying Parameter Model Framework
Achieving Shrinkage in a Time-Varying Parameter Model Framework
A. Bitto
Sylvia Fruhwirth-Schnatter
145
170
0
04 Nov 2016
Sparse Bayesian time-varying covariance estimation in many dimensions
Sparse Bayesian time-varying covariance estimation in many dimensions
G. Kastner
291
104
0
30 Aug 2016
A flexible Particle Markov chain Monte Carlo method
A flexible Particle Markov chain Monte Carlo method
Eduardo F. Mendes
Chris Carter
David Gunawan
Robert Kohn
295
2
0
08 Jan 2014
1
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