95 citations · 168 across the 22 of their papers we have counts for
3 papers · 1 filter
Stochastic volatility models with skewness selection
Igor Ferreira Batista Martins, Hedibert Freitas Lopes
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of f…
Sparse Bayesian factor analysis when the number of factors is unknown
Sylvia Frühwirth-Schnatter, Darjus Hosszejni, Hedibert Freitas Lopes
There has been increased research interest in the subfield of sparse Bayesian factor analysis with shrinkage priors, which achieve additional sparsity beyond the natural parsimonit…
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…