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Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions. (2020). West, Mike.
In: Annals of the Institute of Statistical Mathematics.
RePEc:spr:aistmt:v:72:y:2020:i:1:d:10.1007_s10463-019-00741-3.

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  2. Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos.
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    In: Journal of Multivariate Analysis.
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  7. On the Relationship between Uhlig Extended and beta‐Bartlett Processes. (2022). Pea, Victor ; Irie, Kaoru.
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  8. Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F.
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References

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    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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