Xin Jin

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

Despite its conceptual appeal, the autoregressive inverse‐Wishart (AIW) multivariate stochastic volatility model has been hindered by inefficient sampling methods. The existing samplers for the latent covariance matrix severely suffer from the curse of dimensionality and only work when the dimension is very low. In t...