Factor Stochastic Volatility Models is a class of multivariate stochastic volatility models in which the volatility dynamics of multiple assets are driven by a common low-dimensional set of latent autoregressive factors, thereby capturing interdependencies in volatility while reducing dimensionality.
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Variants
Factor Sv Models
Parents
Publications
92
Range‐Based Estimation of Stochastic Volatility Models
Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold · The Journal of Finance · 2002 · 1.2K citations · Full text
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143
Duke University
Durham, United States
7 h-index
10 publications
636 citations
New York University
New York, United States
7 h-index
7 publications
267 citations
National Bureau of Economic Research
Cambridge, United States
5 h-index
7 publications
708 citations
Queen Mary University of London
London, United Kingdom
5 h-index
5 publications
396 citations
Copenhagen Business School
Copenhagen, Denmark
5 h-index
5 publications
910 citations
Aarhus University
Aarhus, Denmark
4 h-index
4 publications
189 citations
University of Maryland, College Park
College Park, United States
4 h-index
4 publications
730 citations
University of North Carolina at Chapel Hill
Chapel Hill, United States
4 h-index
4 publications
169 citations
1–8 of 143
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- SSRN Electronic Journal
Repository · 22 publications · 1.1K citations
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- RePEc: Research Papers in Economics
Repository · 7 publications · 222 citations
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- Journal of Econometrics
4 publications · 230 citations
4
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- Journal of Business and Economic Statistics
JBES · 4 publications · 379 citations
4
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- Econometric Reviews
3 publications · 145 citations
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