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Xin Jin

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Jul 2026

The Autoregressive Inverse‐Wishart Multivariate Stochastic Volatility Model and Its Factor Extension

A new proposal for the latent covariance matrix in the AIW model is introduced, which demonstrates far better scalability and further fit the AIW model into a factor structure and provide an a posteriori identification procedure without introducing order dependence.

Xin Jin · 0 citations

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