62 citations · 81 across the 4 of their papers we have counts for
4 papers
Skew selection for factor stochastic volatility models
Jouchi Nakajima
This paper proposes factor stochastic volatility models with skew error distributions. The generalized hyperbolic skew t-distribution is employed for common-factor processes and id…
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Kenichiro McAlinn, Knut Are Aastveit, Jouchi Nakajima +1
We develop the methodology and a detailed case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the rece…
Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing
Jouchi Nakajima, Mike West
We discuss Bayesian analysis of multivariate time series with dynamic factor models that exploit time-adaptive sparsity in model parametrizations via the latent threshold approach.…
Bayesian analysis of multivariate stochastic volatility with skew distribution
Jouchi Nakajima
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with…