Parsimony inducing priors for large scale state–space models

Dynamic shrinkage processes

(2019) Daniel R. Kowal et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

On the Long Run Volatility of Stocks

(2018) Carlos M. Carvalho et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Sparse Bayesian time-varying covariance estimation in many dimensions

(2018) Gregor Kastner   JOURNAL OF ECONOMETRICS

Achieving shrinkage in a time-varying parameter model framework

(2018) Angela Bitto et al.   JOURNAL OF ECONOMETRICS

Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

(2017) Gregor Kastner et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Dynamic dependence networks: Financial time series forecasting and portfolio decisions

(2016) Zoey Yi Zhao et al.   APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

Stochastic Model Specification Search for Time-Varying Parameter VARs

(2015) Eric Eisenstat et al.   Econometric Reviews

Time-varying sparsity in dynamic regression models

(2013) Maria Kalli et al.   JOURNAL OF ECONOMETRICS

Bayesian Analysis of Latent Threshold Dynamic Models

(2012) Jouchi Nakajima et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Forward adaptive banding for estimating large covariance matrices

(2011) C. Leng et al.   BIOMETRIKA

Cholesky-GARCH models with applications to finance

(2011) Petros Dellaportas et al.   STATISTICS AND COMPUTING

A new approach to Cholesky-based covariance regularization in high dimensions

(2010) A. J. Rothman et al.   BIOMETRIKA

The structure of dynamic correlations in multivariate stochastic volatility models

(2009) Manabu Asai et al.   JOURNAL OF ECONOMETRICS

Stochastic model specification search for Gaussian and partial non-Gaussian state space models

(2009) Sylvia Frühwirth-Schnatter et al.   JOURNAL OF ECONOMETRICS

Sparse estimation of large covariance matrices via a nested Lasso penalty

(2008) Elizaveta Levina et al.   Annals of Applied Statistics

Multivariate stochastic volatility with Bayesian dynamic linear models

(2007) K. Triantafyllopoulos   JOURNAL OF STATISTICAL PLANNING AND INFERENCE