Factor Stochastic Volatility Model

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Rantmurph
Posts: 6
Joined: Fri May 22, 2015 3:14 pm

Factor Stochastic Volatility Model

Unread post by Rantmurph »

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
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