We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies
This study examines volatility spillovers between Chinese and U.S. equity markets by developing a comprehensive framework that captures asymmetric volatility, extreme co-movements, and dynamic correla
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trad
