47 citations · 78 across the 5 of their papers we have counts for
5 papers
When it counts -- Econometric identification of the basic factor model based on GLT structures
Sylvia Frühwirth-Schnatter, Darjus Hosszejni, Hedibert Freitas Lopes
Despite the popularity of factor models with sparse loading matrices, little attention has been given to formally address identifiability of these models beyond standard rotation-b…
Cover It Up! Bipartite Graphs Uncover Identifiability in Sparse Factor Analysis
Darjus Hosszejni, Sylvia Frühwirth-Schnatter
Despite the popularity of factor models with sparse loading matrices, little attention has been given to formally address identifiability of these models beyond standard rotation-b…
Bayesian Estimation of the Degrees of Freedom Parameter of the Student- Distribution---A Beneficial Re-parameterization
Darjus Hosszejni
In this paper, conditional data augmentation (DA) is investigated for the degrees of freedom parameter of a Student- distribution. Based on a restricted version of the expec…
Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol
Darjus Hosszejni, Gregor Kastner
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the larg…
Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage
Darjus Hosszejni, Gregor Kastner
The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness…