{"id":"https://openalex.org/W4388319747","doi":"https://doi.org/10.1093/oso/9780198504856.003.0024","title":"Time-Varying Covariances: A Factor Stochastic Volatility Approach","display_name":"Time-Varying Covariances: A Factor Stochastic Volatility Approach","publication_year":1999,"publication_date":"1999-08-12","ids":{"openalex":"https://openalex.org/W4388319747","doi":"https://doi.org/10.1093/oso/9780198504856.003.0024"},"language":"en","primary_location":{"id":"doi:10.1093/oso/9780198504856.003.0024","doi":"https://doi.org/10.1093/oso/9780198504856.003.0024","is_oa":false,"landing_page_url":"https://doi.org/10.1093/oso/9780198504856.003.0024","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Bayesian Statistics 6","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W4388290848","display_name":"Bayesian Statistics 6"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5091862852","display_name":"Michael K Pitt","orcid":"https://orcid.org/0000-0003-2461-5985","observed_orcids":["https://orcid.org/0000-0003-2461-5985"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael K Pitt","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5047291984","display_name":"Neil Shephard","orcid":"https://orcid.org/0000-0001-8230-9754","observed_orcids":["https://orcid.org/0000-0001-8230-9754"]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Neil Shephard","raw_affiliation_strings":["Imperial College, London, Uk. And Nuffield College, Oxford, Uk"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Imperial College, London, Uk. And Nuffield College, Oxford, Uk","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":11.4878,"has_fulltext":false,"cited_by_count":98,"citation_normalized_percentile":{"value":0.98513011,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"547","last_page":"570"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-varying-covariance","display_name":"time-varying covariance","score":0.9639999866485596},{"id":"https://openalex.org/keywords/high-dimensional-covariance-estimation","display_name":"high-dimensional covariance estimation","score":0.6290000081062317},{"id":"https://openalex.org/keywords/bayesian-parameter-estimation","display_name":"Bayesian parameter estimation","score":0.6710000038146973},{"id":"https://openalex.org/keywords/bayesian-model-selection","display_name":"Bayesian model selection","score":0.890999972820282},{"id":"https://openalex.org/keywords/model-diagnostics","display_name":"model diagnostics","score":0.6190000176429749},{"id":"https://openalex.org/keywords/idiosyncratic-noise","display_name":"idiosyncratic noise","score":0.7689999938011169}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.716214120388031},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5481732487678528},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5464207530021667},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5457853078842163},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.5247136354446411},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.47013670206069946},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.43862056732177734},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.4351048469543457},{"id":"https://openalex.org/C93959086","wikidata":"https://www.wikidata.org/wiki/Q6888345","display_name":"Model selection","level":2,"score":0.4158038794994354},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3872016668319702},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.33057230710983276},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.19432586431503296},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1093/oso/9780198504856.003.0024","doi":"https://doi.org/10.1093/oso/9780198504856.003.0024","is_oa":false,"landing_page_url":"https://doi.org/10.1093/oso/9780198504856.003.0024","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Bayesian Statistics 6","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W799012980","https://openalex.org/W200311900","https://openalex.org/W7120329676","https://openalex.org/W7125117606","https://openalex.org/W2286696181","https://openalex.org/W2150018836","https://openalex.org/W4403661647","https://openalex.org/W7100839034","https://openalex.org/W7135573909","https://openalex.org/W7098350688"],"abstract_inverted_index":{"Abstract":[0],"We":[1,46],"propose":[2,65],"a":[3,8,32],"factor":[4],"model":[5,36,71],"which":[6],"allows":[7],"parsimonious":[9],"representation":[10],"of":[11,16,21,56,59,69,76],"the":[12,19,39,53,57],"time":[13],"series":[14,22],"evolution":[15],"covariances":[17],"when":[18],"number":[20],"being":[23],"modelled":[24],"becomes":[25],"very":[26],"large.":[27],"The":[28],"factors":[29],"arise":[30],"from":[31],"standard":[33],"stochastic":[34],"volatility":[35],"as":[37],"does":[38],"idiosyncratic":[40],"noise":[41],"associated":[42],"with":[43],"each":[44],"series.":[45],"use":[47],"an":[48,66],"efficient":[49],"method":[50,68],"for":[51,73,83],"deriving":[52],"posterior":[54],"distribution":[55],"parameters":[58],"this":[60,74],"model.":[61],"In":[62],"addition":[63],"we":[64,79],"effective":[67],"Bayesian":[70],"selection":[72],"class":[75],"models.":[77,85],"Finally,":[78],"consider":[80],"diagnostic":[81],"measures":[82],"specific":[84]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":7},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-28T10:33:24.094632","created_date":"2023-11-04T00:00:00"}