Factor stochastic volatility with time varying loadings and Markov switching regimes

Mathematics

• Markov Switching 100%
• Stochastic Volatility 98%
• Stochastic Volatility Model 94%
• Time-varying 69%
• Dynamic Factor Model 48%
• Business 46%
• Discounting 39%
• Bayesian Statistics 36%
• Volatility 32%
• Stock Index 22%
• Stock Returns 21%
• Contagion 21%
• Exchange rate 20%
• Common factor 18%
• Markov Chain Monte Carlo Algorithms 17%
• Covariance Structure 16%
• Market 14%
• Jump 11%
• Methodology 10%
• Generalise 7%
• Model 4%
• Class 4%

Business & Economics

• Markov Regime-switching 97%
• Stochastic Volatility Model 79%
• Stochastic Volatility 78%
• Markov Switching 62%
• Bayesian Statistics 44%
• Matrix 38%
• Dynamic Factor Model 37%
• Portfolio Allocation 35%
• Discounting 29%
• Factors 24%
• Common Factors 19%
• Exchange Rate Returns 19%
• Factor Loadings 18%
• Markov Chain Monte Carlo 17%
• Jump 16%
• Stock Market Index 16%
• Contagion 15%
• Comovement 14%
• Stock Returns 11%
• Methodology 7%

Engineering & Materials Science

• Stochastic models 78%
• Statistics 21%
• Industry 18%
• Financial markets 17%
• Markov chains 13%