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A structured variational learning approach for switching latent factor models

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  • Mohamed Saidane
  • Christian Lavergne

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  • Mohamed Saidane & Christian Lavergne, 2007. "A structured variational learning approach for switching latent factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 91(3), pages 245-268, October.
    • Handle: RePEc:spr:alstar:v:91:y:2007:i:3:p:245-268
    DOI: 10.1007/s10182-007-0031-4
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    References listed on IDEAS

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    1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    2. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-587.
    5. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 76-84, June.
    6. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
    7. Harvey, Andrew & Ruiz, Esther & Sentana, Enrique, 1992. "Unobserved component time series models with Arch disturbances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 129-157.
    8. Enrique Sentana, 1995. "Quadratic ARCH Models," Review of Economic Studies, Oxford University Press, vol. 62(4), pages 639-661.
    9. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    10. Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266.
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    Cited by:

    1. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.

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