Work

Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach

Year: 2012

Type: article

Source: Journal of Financial Econometrics

DOI: 10.1093/jjfinec/nbs013

Authors: J. Nakajima, M. West

Institution: Duke University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2111898680

FWCI: 4.786

Cites: 28

Cited by: 40

Related to: 10