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
The aim of this study is to appraise if there is any improvement subtracting the effects of outliers from existing heteroscedastic models and whether this improvement makes difference with the existin
Analyze American and Brazilian stock market volatility using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and correlating with energy prices.
This paper introduces a new class of nonlinear models known as the Z-valued smooth transition GARCH model, designed to accommodate Z-valued time series that display asymmetric, nonlinear and highly pe
