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
· Journal of applied econometr... · 0 citations