Pages that link to "Item:Q2155653"
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The following pages link to A factor-GARCH model for high dimensional volatilities (Q2155653):
Displaying 15 items.
- Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775) (← links)
- Inference theory for volatility functional dependencies (Q284294) (← links)
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction (Q1739867) (← links)
- GARCH-type factor model (Q2140876) (← links)
- A Student-\(t\) full factor multivariate GARCH model (Q2655303) (← links)
- Weighted scatter estimation method of the GO-GARCH models (Q2930903) (← links)
- Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches (Q3111195) (← links)
- Determining the number of factors in a multivariate error correction-volatility factor model (Q3566437) (← links)
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707) (← links)
- Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
- A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix (Q4970975) (← links)
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks (Q5093930) (← links)
- Factor Stochastic Volatility in Mean Models: A GMM Approach (Q5485106) (← links)
