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A factor-GARCH model for high dimensional volatilities - MaRDI portal

A factor-GARCH model for high dimensional volatilities (Q2155653)

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A factor-GARCH model for high dimensional volatilities
scientific article

    Statements

    title
    A factor-GARCH model for high dimensional volatilities (English)
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    author
    Jiazhu Pan
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    Xiao-Ling Li
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    Yu'an Li
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    XingFa Zhang
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    publication date
    15 July 2022
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    zbMATH Keywords
    approximate factor models
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    conditional variance-covariance matrix
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    multivariate GARCH
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    sparse estimation
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    thresholding
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H12
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    62H25
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    62F12
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    62P05
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    zbMATH DE Number
    7557672
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    OpenAlex ID
    W4283752116
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