62 citations · 81 across the 4 of their papers we have counts for
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stat.ME2019
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…
stat.ME2017★ 62 cited
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…
stat.ME2012★ 2 cited
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…