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Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
28 June 2019
Darjus Hosszejni
G. Kastner
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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
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A Bayesian Survival Model for Time-Varying Coefficients and Unobserved Heterogeneity
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Daniel T. Winkler
G. Jomrich
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22 Jun 2022
Variational Heteroscedastic Volatility Model
Zexuan Yin
P. Barucca
AI4TS
56
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0
11 Apr 2022
Recurrent Conditional Heteroskedasticity
T.-N. Nguyen
Minh-Ngoc Tran
Robert Kohn
BDL
74
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
106
22
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
68
8
0
01 Nov 2017
Sparse Bayesian vector autoregressions in huge dimensions
G. Kastner
Florian Huber
76
95
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11 Apr 2017
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