Factor Stochastic Volatility Model
Posted: Mon Apr 18, 2016 11:29 am
Hi
I am looking for RATS code to estimate a factor SV model similar to that in Michael Pitt and Neil Shephard (1999), "Time-Varying Covariances: A Factor Stochastic Volatility Approach", Bayesian Statistics, 6, 547-70.
http://scholar.harvard.edu/shephard/pub ... y-approach
Thanks
Anthony
I am looking for RATS code to estimate a factor SV model similar to that in Michael Pitt and Neil Shephard (1999), "Time-Varying Covariances: A Factor Stochastic Volatility Approach", Bayesian Statistics, 6, 547-70.
http://scholar.harvard.edu/shephard/pub ... y-approach
Thanks
Anthony