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2. Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael.
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3. The impact of macroeconomic uncertainty on inequality: An empirical study for the UK. (2018). Theophilopoulou, Angeliki.
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   RePEc:pra:mprapa:90448.

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1. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Watson, M W ; Stock, J H.
   In: Handbook of Macroeconomics.
   RePEc:eee:macchp:v2-415.

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2. Likelihood-based Analysis for Dynamic Factor Models. (2014). Koopman, Siem Jan ; Jungbacker, Borus.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20080007.

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3. Optimal strategies for selecting project portfolios using uncertain value estimates. (2014). Liesio, Juuso ; Vilkkumaa, Eeva ; Salo, Ahti.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:233:y:2014:i:3:p:772-783.

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4. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors. (2014). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:41:y:2014:i:c:p:257-275.

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5. Dynamic factor multivariate GARCH model. (2014). Santos, Andre ; Moura, Guilherme ; Santos, Andre A. P., .
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

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6. Bayesian Markov Switching Stochastic Correlation Models. (2013). Sartore, Domenico ; Casarin, Roberto ; Tronzano, Marco.
   In: Working Papers.
   RePEc:ven:wpaper:2013:11.

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7. Bayesian Analysis of Latent Threshold Dynamic Models. (2013). Nakajima, Jouchi ; West, Mike.
   In: Journal of Business & Economic Statistics.
   RePEc:taf:jnlbes:v:31:y:2013:i:2:p:151-164.

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8. Bayesian estimation of sparse dynamic factor models with order-independent identification. (2013). Schumacher, Christian ; Kaufmann, Sylvia.
   In: Working Papers.
   RePEc:szg:worpap:1304.

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9. A new look at variation in employment growth in Canada. (2013). Koop, Gary ; Gefang, Deborah ; Campolieti, Michele.
   In: Working Papers.
   RePEc:lan:wpaper:26145565.

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10. The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?. (2013). SEVESTRE, Patrick ; Horny, Guillaume ; Avouyi-Dovi, Sanvi ; Avouyi-Dovi, S. Patrick Sevestre., .
    In: Working papers.
    RePEc:bfr:banfra:462.

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11. Multivariate stochastic volatility modelling using Wishart autoregressive processes. (2013). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:1311.0530.

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12. Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results. (2012). Schumacher, Christian ; Kaufmann, Sylvia.
    In: Discussion Papers.
    RePEc:zbw:bubdps:292012.

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13. Bayesian factor analysis for spatially correlated data: application to cancer incidence data in Scotland. (2012). Mezzetti, Maura.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:21:y:2012:i:1:p:49-74.

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14. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2012). Eratalay, Mustafa Hakan.
    In: EUSP Department of Economics Working Paper Series.
    RePEc:eus:wpaper:ec0412.

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15. Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models. (2012). Caporin, Massimiliano ; Asai, Manabu ; McAleer, M. J..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:31985.

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16. The dynamic adjustments of stock prices to inflation disturbances. (2012). Valcarcel, Victor (Vic).
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:2:p:117-144.

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17. Optimal portfolios with minimum capital requirements. (2012). Santos, Andre ; Ruiz, Esther ; Santos, André A. P., ; Nogales, Francisco J. ; van Dijk, Dick.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942.

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18. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market. (2012). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo ; André A. P. Santos, .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00293.

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19. Heteroskedastic Dynamic Factor Models: A Monte Carlo Study. (2012). Moura, Guilherme ; Suren, Gijsbert .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00269.

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20. Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model. (2011). Pajor, Anna.
    In: Dynamic Econometric Models.
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21. A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi). (2010). Tekatli, Necati.
    In: Working Papers.
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22. Mixed frequency models: Bayesian approaches to estimation and prediction. (2010). Puggioni, Gavino ; Rodriguez, Abel.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:293-311.

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23. Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search. (2009). Ni, Shawn ; Sun, Dongchu ; Loddo, Antonello .
    In: Working Papers.
    RePEc:umc:wpaper:0911.

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24. Aplicação de um Modelo Fatorial Dinâmico Para Previsão da Arrecadação Tributária no Brasil. (2009). Martins, Thiago Guerrera ; Mendona, Mario Jorge ; Claudio Hamilton dos Santos, .
    In: Discussion Papers.
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25. Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2009-03.

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26. Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios. (2009). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2857.

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27. Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-11.

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28. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes. (2008). Sartore, Domenico ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ubs:wpaper:0816.

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29. Particle Filters for Markov-Switching Stochastic-Correlation Models. (2008). Casarin, Roberto ; amisano, gianni.
    In: Working Papers.
    RePEc:ubs:wpaper:0814.

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30. A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model. (2008). Smith, Penelope ; Lim, Guay ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2008n16.

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31. High dimensional covariance matrix estimation using a factor model. (2008). Fan, Jianqing ; Lv, Jinchi, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:186-197.

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32. Factor estimation using MCMC-based Kalman filter methods. (2008). Tsiaplias, Sarantis.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2008:i:2:p:344-353.

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33. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2326.

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34. Optimal Asset Allocation with Factor Models for Large Portfolios. (2008). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0813.

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35. Multivariate stochastic volatility using state space models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0223.

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36. Forecasting with time-varying vector autoregressive models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0220.

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37. Multivariate stochastic volatility with Bayesian dynamic linear models. (2008). Triantafyllopoulos, Kostas.
    In: Papers.
    RePEc:arx:papers:0802.0214.

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38. Matrix-State Particle Filter for Wishart Stochastic Volatility Processes. (2007). Sartore, Domenico ; Casarin, Roberto.
    In: Working Papers.
    RePEc:ven:wpaper:2007_30.

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39. Multivariate stochastic volatility. (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2007cf488.

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40. A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors. (2007). Tsiaplias, Sarantis.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2007n18.

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41. Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in Handbook of Financial Time Series (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ). (2007). Omori, Yasuhiro ; Asai, Manabu ; Chib, Siddhartha.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf094.

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42. Understanding Sources of the Change in International Business Cycles. (2007). Tekatli, Necati.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:731.08.

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43. Generalized Factor Models: A Bayesian Approach. (2007). Tekatli, Necati.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:730.08.

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44. Fast estimation of multivariate stochastic volatility. (2007). Triantafyllopoulos, Kostas ; Montana, Giovanni.
    In: Papers.
    RePEc:arx:papers:0708.4376.

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45. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.. (2005). Sargent, Thomas ; Cogley, Timothy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:2:p:262-302.

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46. Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system. (2005). Sargent, Thomas ; Morozov, Sergei ; Cogley, Timothy.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:11:p:1893-1925.

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47. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2443.

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48. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Liesenfeld, Roman ; Richard, Jean-Francois.
    In: Working Paper.
    RePEc:pit:wpaper:322.

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49. Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system. (2003). Sargent, Thomas ; Cogley, Timothy ; Morozov, Sergei .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200344.

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50. Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

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