Time varying covariances: a factor stochastic volatility approach
Publication information:
Pitt, Michael, and Neil Shephard. 1999. “Time Varying Covariances: A Factor Stochastic Volatility Approach”. In Bayesian Statistics 6, Proceedings of the Sixth Valencia International Meeting, (edited by J.M. Bernardo, J.O. Berger, A.P. Dawid and A.F.M Smith), 547-70. Oxford: Oxford University Press.